The information content of implied volatility in the Hong Kong and Singapore covered warrants markets

Chen, Cheny, Liu, Ming-Liu and Nguyen, Hoa 2007, The information content of implied volatility in the Hong Kong and Singapore covered warrants markets, Deakin University, School of Accounting, Economics and Finance, Geelong, Vic..

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Title The information content of implied volatility in the Hong Kong and Singapore covered warrants markets
Author(s) Chen, Cheny
Liu, Ming-Liu
Nguyen, HoaORCID iD for Nguyen, Hoa orcid.org/0000-0003-0813-4997
Publication date 2007-09-30
Series School Working Paper - Accounting/Finance Series 2007 ; SWP 2007/16
Total pages 28
Publisher Deakin University, School of Accounting, Economics and Finance
Place of publication Geelong, Vic.
Keyword(s) RePEc:dkn:acctwp:aef_2007_16
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 due 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.
Language eng
HERDC Research category CN.1 Other journal article
Persistent URL http://hdl.handle.net/10536/DRO/DU:30095271

Document type: Report
Collections: Faculty of Business and Law
RePEc Working Papers
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