Can derivatives information predict stock price jumps?

Title
Can derivatives information predict stock price jumps?
Authors
강형구
Keywords
Stock Market Jump; Probit Model; Implied Volatility; Volatility Skew; Moneyness; Basis Spread
Issue Date
2015-05
Publisher
The Clute Institute
Citation
Journal of Applied Business Research, v. 31, NO 3, Page. 845-860
Abstract
This study examines the predictability of jumps in stock prices using options-trading information, the futures basis spread, the cross-sectional standard deviation of returns on components in the stock index, and exchange rates. A stock price jump was defined as a large fluctuation in the stock price that deviated from the distribution thresholds of the past rates of return. This empirical analysis shows that the implied volatility spread between ATM call and put options was a significant predictor for both upward and downward jumps, whereas the volatility skew was less significant. In addition, the futures basis spread was moderately significant for downward stock price jumps. Both the cross-sectional standard deviation of the rates of return on component stocks in the KOSPI 200 and the won-dollar exchange rates were significant predictors for both upward and downward jumps. © 2015, CIBER Institute. All right reserved.
URI
http://search.proquest.com/docview/1699067743/E97126C3B7E648F8PQ/7?accountid=11283http://hdl.handle.net/20.500.11754/25205
ISSN
0892-7626
Appears in Collections:
GRADUATE SCHOOL OF BUSINESS[S](경영전문대학원) > ETC
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