کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
5088880 | 1478326 | 2014 | 13 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Options resilience during extreme volatility: Evidence from the market events of May 2010
ترجمه فارسی عنوان
انعطاف پذیری گزینه ها در هنگام نوسان شدید: شواهد از رویدادهای بازار مه 2010
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موضوعات مرتبط
علوم انسانی و اجتماعی
اقتصاد، اقتصادسنجی و امور مالی
اقتصاد و اقتصادسنجی
چکیده انگلیسی
Using intraday trades and quotes data, we study the stock options market before, during, and after the market events of May 6, 2010. Focusing on the S&P 500 and S&P 100 stock options, we explore if the options market provided any discernible signals that forewarned the extreme volatility on that day and whether the recovery was fast and without a permanent impact. We find that the options market reacted to the volatility- rather than predicting it, and almost all of the variables are indistinguishable from their previous levels in the next few trading days. Intraday empirical analysis suggests that most of the impact was over within a few hours from the peak of market volatility.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Banking & Finance - Volume 49, December 2014, Pages 262-274
Journal: Journal of Banking & Finance - Volume 49, December 2014, Pages 262-274
نویسندگان
Nusret Cakici, Gautam Goswami, Sinan Tan,