Efficient predictability of stock return volatility: The role of stock market implied volatility

Dai Zhifeng; Zhou Huiting; Wen Fenghua; He Shaoyi

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Efficient predictability of stock return volatility: The role of stock market implied volatility

机译：有效的股票回报波动性可预测性：股市暗示波动的作用

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This study examines the predictability of stock market implied volatility on stock volatility in five developed economies (the US, Japan, Germany, France, and the UK) using monthly volatility data for the period 2000 to 2017. We utilize a simple linear autoregressive model to capture predictive relationships between stock market implied volatility and stock volatility. Our in-sample results show there exists very significant Granger causality from stock market implied volatility to stock volatility. The out-of-sample results also indicate that stock market implied volatility is significantly more powerful for stock volatility than the oil price volatility in five developed economies.

机译：本研究审查了股票市场暗示波动性在五届发达经济体（美国，日本，德国，法国和英国）的股票波动性的可预测性使用2000年至2017年期间的月度波动数据。我们利用简单的线性自回归模型捕捉股市之间隐含波动性和股票波动之间的预测关系。我们的样本结果表明，股票市场隐含到股票波动性的股票市场暗示的格兰杰因果关系非常重要。除样品外的结果还表明，股市隐含的波动性比在五个发达经济体中的石油价格波动比石油价格波动显着更强大。

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来源
《The North American journal of economics and finance》 |2020年第4期|101174.1-101174.8|共8页
作者
Dai Zhifeng; Zhou Huiting; Wen Fenghua; He Shaoyi;
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作者单位

Changsha Univ Sci & Technol Coll Math & Stat Changsha 410114 Hunan Peoples R China;

Changsha Univ Sci & Technol Coll Math & Stat Changsha 410114 Hunan Peoples R China;

Cent South Univ Coll Business Changsha 410083 Hunan Peoples R China|Univ Windsor Fac Engn Supply Chain & Logist Optimizat Res Ctr Windsor ON Canada;

Calif State Univ San Bernardino Jack H Brown Coll Business & Publ Adm San Bernardino CA 92407 USA;

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原文格式 PDF
正文语种 eng
中图分类
关键词
Stock volatility; Stock market implied volatility; Predictive regression; Out-of-sample performance;

机译：股票波动;股票市场隐含波动;预测回归;超出样本性能;

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机译：确定某些国家的资本市场中的股票价格价格指数收益率波动对德黑兰证券交易所股票市场的价格指数收益率波动的影响
2. International implied volatility risk indexes and Saudi stock return-volatility predictabilities [J] . Tissaoui Kais, Azibi Jamel The North American journal of economics and finance . 2019,第JANa期

机译：国际隐含波动率风险指数和沙特股票收益波动率可预测性
3. International implied volatility risk indexes and Saudi stock return-volatility predictabilities [J] . Tissaoui Kais, Azibi Jamel The North American journal of economics and finance . 2019,第Jana期

机译：国际隐含波动性风险指标和沙特股票回报 - 波动性预测
4. An Impact of U.S. and U.K. Stock Return Rates' Volatility on the Stock Market Returns: An Evidence Study of Germany's Stock Market Returns [C] . Wann-Jyi Horng, Jun-Yen Lee International Conference on Convergence and Hybrid Information Technology . 2008

机译：美国和美国的影响力对股市回报的股票回报率“波动性”返回：对德国股市回报的证据研究
5. Three essays on stock market volatility and stock return predictability. [D] . Yan, Shu. 2000

机译：关于股市波动和股票收益可预测性的三篇文章。
6. Stock Market Volatility and Return Analysis: A Systematic Literature Review [O] . Roni Bhowmik, Shouyang Wang 2020

机译：股市波动和返回分析：系统文献综述
7. Do Stock Markets Catch the Flu? We examine the impact of influenza on the U.S. stock market. A higher incidence of flu is associated with decreased trading, decreased volatility, and higher bid-ask spreads. We also find some evidence that more flu implies lower stock returns. Consistent with the flu affecting institutional investors and market-makers, the decrease in trading activity and volatility is primarily driven by the incidence of influenza in the greater New York City area. However, the effect of the flu on bid-ask spreads and returns is driven by the incidence of flu nationally. We provide estimates of the potential impacts of a pandemic on equity returns. [O] . Yiuman Tse, Brian C. McTier, John K. Wald 100

机译：股市是否会引发流感？我们研究了流感对美国股市的影响。流感发病率较高与交易减少，波动性降低和买卖差价较高有关。我们还发现一些证据表明，更多流感意味着股票收益率下降与影响机构投资者和做市商的流感一致，交易活动和波动性的下降主要是由于纽约市大区的流感发病率所致。然而，流感对买卖差价和回报的影响是由全国流感的发生率所驱动的。我们提供了大流行对股权回报的潜在影响的估计。

Efficient predictability of stock return volatility: The role of stock market implied volatility

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