Do option traders know better about volatility forecasting? : a dissertation submitted to Auckland University of Technology in fulfilment of the requirements for the degree of Master of Business, July 2006 / Cheny Chen ; supervisor: Ming-Hua Liu.
This dissertation examines European-style call covered warrants traded on the Hong Kong Exchanges and Clearing (HKEx) and the Singapore Exchange (SGX). The concept of implied volatility is derived from the Black-Scholes model and this study sets out to investigate its information content. The predic...
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| Kaituhi rangatōpū: | |
| Hōputu: | iTuhinga whakapae |
| Reo: | English |
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| Urunga tuihono: | Full version dissertation for AUT students and staff only |
| Whakarāpopototanga: | This dissertation examines European-style call covered warrants traded on the Hong Kong Exchanges and Clearing (HKEx) and the Singapore Exchange (SGX). The concept of implied volatility is derived from the Black-Scholes model and this study sets out to investigate its information content. The predictive power of implied volatility is tested with time-series models including the historical standard deviation, GARCH-based, and EGARCH-based volatility. In particular, this study examines the usefulness of implied volatility over different forecasting horizons. The empirical results are consistent in both Hong Kong and Singapore which indicate that the time-series-based volatility forecasts outperform the implied volatility forecast. The information content of implied volatility is inefficient compared to the time-series-based volatilities, and the implied volatility is a biased forecast of future volatility. However, the implied volatility seems to increase in significance when related to forecasting horizons. The main findings are robust to different data frequency and measurement error. Author supplied keywords: Options (Finance) -- Prices -- Mathematical models; Stock options -- Prices -- Mathematical models; Speculation. |
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| Whakaahuatanga ōkiko: | 1 online resource Also held in print (vi, 54 leaves : ill. ; 30 cm.) in in off-campus storage, box no. 171 (T 332.63228 CHE) |
| Rārangi puna kōrero: | Includes bibliographical references. |