Huang, Teng-Ching
[VerfasserIn]
;
Lin, Bing-Huei
[Sonstige Person, Familie und Körperschaft];
Yang, Tung-Hsiao
[Sonstige Person, Familie und Körperschaft]
Predicting Volatility and the Information Content of Informed Traders in an Option Market
Anmerkungen:
Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments August 19, 2015 erstellt
Beschreibung:
We investigate the impact of information trading on predicting variation of implied volatility. First, we find that informed traders do trade in the index options market. The predicting biases of implied volatilities on the realized volatility are correlated with the information trading. Second, we find that delta market depth and bid-ask spread are correlated with the predicting variations in implied volatilities. Moreover, the difference between realized and implied volatility, bid-ask spread, and delta market depth are the determinants of price discovery in the option market. Third, the intraday patterns in realized volatility exhibit an inverse J-shape, which induces forecasting biases in implied volatilities. Finally, based on the performance of the volatility trading strategy, the result does not support efficient market hypothesis