کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
973470 | 1479810 | 2006 | 15 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
On the informational efficiency of S&P500 implied volatility
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موضوعات مرتبط
علوم انسانی و اجتماعی
اقتصاد، اقتصادسنجی و امور مالی
اقتصاد و اقتصادسنجی
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چکیده انگلیسی
Implied volatility is often considered to represent a market's prediction of future volatility. If such a market was to generate efficient volatility forecasts, implied volatility should reflect all relevant conditioning information. The purpose of this paper is to determine whether a publicly available and commonly used implied volatility index, the VIX index (as published by the Chicago Board of Options Exchange) is in fact efficient with respect to a wide set of conditioning information. Results indicate that the VIX index is not efficient with respect to all elements in the information set that may be used to form volatility forecasts.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: The North American Journal of Economics and Finance - Volume 17, Issue 2, August 2006, Pages 139–153
Journal: The North American Journal of Economics and Finance - Volume 17, Issue 2, August 2006, Pages 139–153
نویسندگان
Ralf Becker, Adam E. Clements, Scott I. White,