The impact of options introduction on the volatility of the underlying equities: evidence from the Chinese stock markets

DOI10.1080/14697688.2020.1814015zbMath1471.91559OpenAlexW3094172561MaRDI QIDQ4957259

Hai-Qiang Chen, Chuanhai Zhang, Xiaoqun Liu, Gideon Bruce Arkorful

Publication date: 3 September 2021

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697688.2020.1814015

zbMATH Keywords

volatilityGARCH-X modelsoptions introductionrealized GARCH modelsSSE 50ETF

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Derivative securities (option pricing, hedging, etc.) (91G20)

Cites Work

• ARCH modeling in finance. A review of the theory and empirical evidence
• Designing Realized Kernels to Measure the ex post Variation of Equity Prices in the Presence of Noise
• Option prices and stock market momentum: evidence from China

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