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Can derivatives information predict stock price jumps?

Title
Can derivatives information predict stock price jumps?
Author
전상경
Keywords
Derivatives; Information; Options; Stock Price; Stocks
Issue Date
2012-12
Publisher
CIBER Institute
Citation
Journal of Applied Business Research, 2015, 31(3), P.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.
URI
https://search.proquest.com/docview/1699067743?pq-origsite=gscholarhttps://repository.hanyang.ac.kr/handle/20.500.11754/73078
ISSN
0892-7626
DOI
10.19030/jabr.v31i3.9222
Appears in Collections:
GRADUATE SCHOOL OF BUSINESS[S](경영전문대학원) > ETC
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