Time reversibility tests of volume–volatility dynamics for stock returns

Stock return dynamics, option volume, an

Stock return dynamics, option volume, and the information content of implied volatility

✍ Stewart Mayhew; Chris Stivers 📂 Article 📅 2003 🏛 John Wiley and Sons 🌐 English ⚖ 192 KB 👁 2 views

## Abstract This article reports new empirical results on the information content of implied volatility, with respect to modeling and forecasting the volatility of individual firm returns. The 50 firms with the highest option volume on the Chicago Board Options Exchange between 1988 and 1995 are ex