Do retail option traders know better about market volatility?

Chen, Cheny, Liu, Ming-Hua and Nguyen, Hoa 2007, Do retail option traders know better about market volatility?, in Global Academy of Business & Economic Research Bangkok 2007 Conference Proceedings : Issues in global research in business & economics, Library of Congress, Bangkok, Thailand, pp. 44-72.

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Title Do retail option traders know better about market volatility?
Author(s) Chen, Cheny
Liu, Ming-Hua
Nguyen, Hoa
Conference name Global Academy of Business and Economic Research International Conference (2007 : Bangkok, Thailand)
Conference location Bangkok, Thailand
Conference dates 27-29 Dec. 2007
Title of proceedings Global Academy of Business & Economic Research Bangkok 2007 Conference Proceedings : Issues in global research in business & economics
Editor(s) Islam, Mazhar M.
Publication date 2007
Start page 44
End page 72
Publisher Library of Congress
Place of publication Bangkok, Thailand
Summary This paper examines the informational content and predictive power of implied volatility over different forecasting horizons in a sample of European covered warrants traded in the Hong Kong and Singapore markets. The empirical results show that time-series-based volatility forecasts outperform implied volatility forecast as a predictor of future volatility. The finding also suggests that implied volatility is biased and informationally inefficient. The results are attributable to the fact in Hong Kong and Singapore the covered warrants markets are dominated by retail investors, who tend to use covered warrants' leverage to speculate on the price movements of the underlying rather than to express their view on volatility.
ISSN 1940-5391
Language eng
Field of Research 150201 Finance
HERDC Research category E1 Full written paper - refereed
ERA Research output type X Not reportable
Persistent URL http://hdl.handle.net/10536/DRO/DU:30008072

Document type: Conference Paper
Collection: School of Accounting, Economics and Finance
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