Impacts of implied volatility on stock price realized jumps

被引：2
|
作者：
Huang, Alex YiHou [1 ]
机构：
[1] Natl Chiao Tung Univ, Dept Informat Management & Finance, Grad Inst Finance, 1001 Univ Rd, Hsinchu 30010, Taiwan
来源：
ECONOMIC SYSTEMS | 2016年 / 40卷 / 04期
关键词：
Stock price jump; Implied volatility; Information risk; RETURN VOLATILITY; CROSS-SECTION; INFORMATION; MARKETS; VARIANCE; SPREADS; RISK;
D O I：
10.1016/j.ecosys.2016.02.007
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
This paper investigates the impact of ex ante implied volatility on stock price realized jumps. In particular, it examines how the different behaviors of informed and noise traders affect stock price jumps. We find that ex ante implied volatility interacts with the level of information quality for a stock when leading realized jumps, and that the direction of the relation changes across the states of the business cycle. We also document an, asymmetric impact from ex ante implied volatility on price jumps across stocks with different degrees of information-based trading activity. (C) 2016 Elsevier B.V. All rights reserved.
引用
收藏
页码：622 / 630
页数：9
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