Why do we smile? On the determinants of the implied volatility function

Article Abstract:

The underlying determinants of the well-known pattern of implied volatilities across exercise prices for otherwise identical options, a phenomenon referred to as the volatility smile, are studied. From an analysis of a list of call and put options on the IBEX-35 Spanish index during a 45-minute interval from 4:00 to 4:45 in the afternoon from Jan 1994 and Apr 1996, it was found that the volatility smile phenomenon was constant. Although the curvature of the volatility smile follows a strong seasonal behavior, some economic variables may affect the smile's volatility. These include time to market, relative market momentum, and the volatility of the underlying asset.

Security brokers and dealers, Securities Brokerage, Securities Trading, Analysis, Securities industry

---

The day-of-the-week effect: the international evidence

Article Abstract:

A re-examination of the day-of-the-week effect for 11 indexes from nine countries during the 1969-1992 period found returns to be lower at the beginning of the week, though not necessarily on Monday, for the entire period in consideration, using the standard and the moving average methodologies. However, this trend disappears for the most recent period in the US. It continues to be strong for European countries, Hong Kong and Toronto.

Research, Prices and rates, Seasonal variations (Economics)

---

Round-the-clock market efficiency and home bias: Evidence from the international Japanese government bonds futures markets

Article Abstract:

The processing of information in the British and Japanese futures markets is examined in detail.

United Kingdom, Economic aspects, Japan, Futures market, Futures markets

Similar abstracts:

• Abstracts: Macroeconomic risk and the determination of expected returns on stocks. R/S analysis and long term dependence in stock market indices
• Abstracts: Toy Options are back in the money. Overlooked attractions. Cash-rich but unloved
• Abstracts: Proceed with caution. Taking the vexation out of taxation. Building in flexibility
• Abstracts: Matching and prediction on the principle of biological classification. The sampling of non-domestic populations
• Abstracts: A discussion of the use of sensitivity panels in market research. The use of interaction coding and follow-up interviews to investigate comprehension of survey questions

This website is not affiliated with document authors or copyright owners. This page is provided for informational purposes only. Unintentional errors are possible.