Recent Dynamics of Idiosyncratic Volatility: Evidences from Mutual Fund Holding and Derivatives Trading

• Main Authors: Chou, Yu-En, 周佑恩
• Other Authors: Huang, Yi-Hou
• Format: Others
• Language: zh-TW
• Published: 2015
• Online Access: http://ndltd.ncl.edu.tw/handle/vp4ebg

碩士 === 國立交通大學 === 財務金融研究所 === 103 === This paper is that we present researching recent trend of relationship Idiosyncratic Risk and Return Volatility. In the presence of information risk, we find that the participation of the industry of mutual fund in the stock market will increase the market efficiency and decrease trading cost while explaining the trend of the relative idiosyncratic volatility as an explanatory variable. Second, on the concept of price discovery from the option market as signals, our paper observes option’s volume, volatility risk premium and the slope of implied volatility curve to research the relationship between these signal and the relative idiosyncratic volatility. Our commandment is that the signal of future stock uncertainty from option market is positively related to the relative idiosyncratic volatility empirically; the signal of risk aversion from option market is negatively related to it. As a result, the most important thing is that we agree the informed traders will present their outlook of the expected stock price through the option market; meanwhile, this information from informed traders will spill over from the option market to the stock market, connecting the information risk.