The Influence of the Options Volatility Skew on the Futures and Stock Markets

• Main Authors: Ching-Ning Kao, 高婧寧
• Other Authors: Chien-Liang Chiu
• Format: Others
• Language: zh-TW
• Published: 2013
• Online Access: http://ndltd.ncl.edu.tw/handle/81981544628643415654

碩士 === 淡江大學 === 財務金融學系碩士班 === 101 === The thesis adopts unique intraday data to analysis the options volatility skew which defines as the difference between the implied volatilities of out-of-the-money puts and at-the-money call has significant predictive power for futures and stock return. Our sample comes from Taiwan futures exchange intraday unique data which covers from January, 2008 to March, 2009. It shows that the thesis can’t find significant predictive power in the volatility skew that can influence stock and futures market on daily or 15 minutes data even the thesis distinguish investors. However, the past scholars think that the options market exists information content and the buyers have more information so that the thesis modify the volatility skew. It shows that the thesis find significant predictive power in the modified volatility skew that can influence stock and futures market when the thesis distinguish investors. The thesis investigates options market implies information content to stock and futures market, especially foreign institutional investors implies information on full trading time. The thesis investigates that domestic institutional investors implies information on after-hours trading time, when the thesis uses the modified volatility skew to analysis. Moreover, it has a liquidity effect on futures market when the thesis evidences the equation so that it implies options market information has significantly increase for institutional investors trading behavior to futures market. It finds that options market exists information content, which includes leverage effect to futures and stock market on intraday data. To sum up, the thesis provides investors to use options information of modified skew to the stock and futures market return, foreign investors implies information on full trading time and domestic institutional investors implies information on after-hours trading time. And the thesis examines a robustness test that options market has no significant of liquidity effect, yet has significant of leverage effect, especially modified skew for daily data and institutional investors for intraday data for futures and stock market.