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    题名: Impact of Net Buying Pressure on Implied Volatility: Before and After the Onset of the Subprime Crisis
    作者: Shiu, Yung-Ming
    許永明;Pan, Ging-Ginq;Lin, Shu-Hui;Wu, Tu-Cheng
    贡献者: 風管系
    日期: 2010-06
    上传时间: 2015-01-07 16:55:21 (UTC+8)
    摘要: This article examines whether net buying pressure affects the implied volatility function of TAIEX options in an order-driven market characterized by high individual participation. Using the intraday data of TAIEX options and futures for the period 2005 through 2008, we find that the shape of the implied volatility for TAIEX options changes from a smile before the subprime mortgage crisis to a smirk after the beginning of the crisis. This change was also observed for the S&P 500 Index implied volatility curve before and after the 1987 US. stock market crash. Unlike previous research that documents evidence that changes in implied volatility of S&P 500 options are mainly determined by buying pressure for index puts, we find that implied volatility changes of TAIEX options are dominated by buying pressure for index calls.
    關聯: Journal of Derivatives,17(4),54-66
    数据类型: article
    显示于类别:[風險管理與保險學系] 期刊論文

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