Volume, volatility and information linkages in the stock and option markets
โ Scribed by Kin-Yip Ho; Lin Zheng; Zhaoyong Zhang
- Book ID
- 119359032
- Publisher
- Elsevier Science
- Year
- 2012
- Tongue
- English
- Weight
- 235 KB
- Volume
- 21
- Category
- Article
- ISSN
- 1058-3300
No coin nor oath required. For personal study only.
๐ SIMILAR VOLUMES
## 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
This article has benefited from the comments and suggestions of two anonymous reviewers. ## 1 Of course, speculation based on fundamentals is likely to be stabilizing rather than destabilizing. Destabilizing speculation may be the result of noise trading (i.e., buying and selling not on the basis