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The trading efficiency on options market: Essays on stock options market.

机译：期权市场的交易效率：股票期权市场的散文。

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摘要

F. Black (1975) in his seminal paper "Fact and Fantasy in the use of options" mentioned a number of fantasies that widely spread in the options markets. Since Black's (1975) paper was published, there were significant changes and innovations in the options markets. The purpose of this paper is to address some of the pricing and trading aspects in the options markets.;The first paper studies the impact of option liquidity on the level of implied volatility function for equity and stock index options. Option liquidity is measured by percentage bid-ask spread, option trading volume and open interest. The study finds a significant negative effect of percentage bid-ask spread on implied volatility level, as well as positive effect of trading volume and open interest on implied volatility level. After adjusting for the underlying asset's total risk, the option percentage spread still has significant negative effect on the level of option excessive volatility. Among several firm specific variables, beta coefficient and systematic risk proportion have significant effects on the slope of excessive implied volatility function. The Fama-MacBeth regressions are used to test the hypotheses for eight moneyness categories separately. This paper explains the implied volatility function from the viewpoint of option market efficiency, and proves that the illiquidity premium documented in stock and bond market is also significant in stock options market.;In The second paper, risk-neutral Skewness derived from stock options market is used to test the information role of options price in predicting stock returns after earnings announcements. The result shows that risk-neutral skewness before earnings announcement day contains information about stock returns during earnings announcement period. Less negative options risk-neutral skewness and the positive change of skewness predict higher abnormal return after earnings announcement. In addition, it is the individual risk-neural skewness and idiosyncratic risk that play more important role in predicting the abnormal return.
机译：F. Black（1975）在他的开创性论文“期权使用中的事实与幻想”中提到了许多在期权市场中广泛传播的幻想。自从布莱克（Black）（1975）发表论文以来，期权市场发生了重大变化和创新。本文的目的是解决期权市场中的一些定价和交易方面的问题。第一篇论文研究了期权流动性对股票和股票指数期权隐含波动率函数水平的影响。期权流动性通过买卖差价百分比，期权交易量和未平仓合约来衡量。该研究发现买卖价差百分比对隐含波动率水平具有显着的负面影响，以及交易量和未平仓合约对隐含波动率水平具有积极影响。在调整了基础资产的总风险之后，期权百分比利差仍然对期权过度波动的水平产生重大负面影响。在几个公司特定变量中，β系数和系统风险比例对过度隐含波动率函数的斜率有显着影响。 Fama-MacBeth回归分别用于检验八个货币类别的假设。本文从期权市场效率的角度解释了隐含波动率函数，并证明了股票和债券市场记录的非流动性溢价在股票期权市场中也很重要。第二部分，从期权市场衍生的风险中性偏度用于测试期权价格在发布收益后预测股票收益中的信息作用。结果表明，收益公告日之前的风险中性偏度包含有关收益公告期间股票收益的信息。负期权的风险中性偏度较小，偏度的正变化较小，则预示着收益公告后的异常收益较高。此外，个体风险-神经偏度和特质风险在预测异常收益中起更重要的作用。

著录项

  • 作者

    Feng, Yan.;

  • 作者单位

    City University of New York.;

  • 授予单位 City University of New York.;
  • 学科 Economics Finance.
  • 学位 Ph.D.
  • 年度 2013
  • 页码 78 p.
  • 总页数 78
  • 原文格式 PDF
  • 正文语种 eng
  • 中图分类
  • 关键词

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