Murad Samsudin, Najmi Ismail and Mohamad, Azhar and Mohammad Sifat, Imtiaz and Hamid, Zarinah (2020) Predictive power of implied volatility of structured call warrants: evidence from Singapore. International Journal of Finance & Economics, 17 December 2020. pp. 1-19. ISSN 1076-9307 E-ISSN 1099-1158
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Abstract
This paper examines the information content of implied volatility of structuredcall warrants in the Singapore Stock Exchange. The study is among the first to examine the implied volatility of equity options (structured call warrants) outside the United States. Using a daily dataset for 252 trading days between August 1, 2014 and July 31, 2015, we test whether implied volatility is an unbiased estimate of realized volatility (RV). In other words, we ask whether implied volatility contains information on future RV, and scrutinize the efficiency of implied volatility and its predictive power compared to historical volatility (HV). Our findings suggest that although implied volatility does contain some relevant information about future volatility, it remains a biased forecast of RV. The efficiency of implied volatility is trivial, and its predictive power is not superior to HV.
| Item Type: | Article (Journal) |
|---|---|
| Uncontrolled Keywords: | equity options, implied volatility, Singapore, structured call warrants |
| Subjects: | H Social Sciences > HG Finance H Social Sciences > HG Finance > HG4501 Stocks, investment, speculation |
| Kulliyyahs/Centres/Divisions/Institutes (Can select more than one option. Press CONTROL button): | Kulliyyah of Economics and Management Sciences Kulliyyah of Economics and Management Sciences > Department of Economics |
| Depositing User: | Dr. Zarinah Hamid |
| Date Deposited: | 31 Dec 2020 09:13 |
| Last Modified: | 11 Feb 2021 12:23 |
| URI: | http://irep.iium.edu.my/id/eprint/87371 |
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