International Transmission of Option Volatility and Skewness : When you ’ re smiling , does the whole world smile ?
International Transmission of Option Volatility and Skewness : When you ’ re smiling , does the whole world smile ?
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期权波动率和偏度的国际传播：当你微笑时，全世界都会微笑吗？
DOI：
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发表时间：
2000
期刊：
影响因子：
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通讯作者：
Naoki Kamiyama
中科院分区：
文献类型：
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作者：
G. Gemmill;Naoki Kamiyama
几篇论文已经表明，波动性从一个股市溢出到另一个股市。通过集中在指数期权，这取决于前瞻性的分布，本文能够采取事前的溢出方法。它使用美国、日本和英国的每日数据，询问一个市场的隐含波动率和隐含偏度的变化是否会迅速反映在其他市场上。毫不奇怪，隐含波动率在不同时区之间是相关的，隐含波动率的变化会从一个市场传递到另一个市场。相反，我们发现一个市场的隐含偏度变化几乎没有传播到其他国家市场的趋势，这表明当地因素必须是偏度每日变化的原因。然而，测试拒绝偏度相关的假设，无论是在国内市场的当前或未来的回报。美国的隐含分布一直比日本和英国更为负偏，因此，美国期权市场存在其他地方不适用的因素，最有可能的是基金经理的投资组合保险行为。
Several papers have shown that volatility spills over from one stockmarket to another. By concentrating on index options, which depend on forward-looking distributions, this paper is able to take an ex ante approach to spillovers. It asks whether changes in the implied volatility and implied skewness of one market are quickly reflected in other markets, using daily data from the US, Japan and UK. Not surprisingly, implied volatilities are correlated across time zones and changes in implied volatility are transmitted from one market to the next. By contrast, we find little tendency for changes in implied skewness in one market to spread to other nations’ markets, which suggests that local factors must be the cause of daily shifts in skewness. However, tests reject the hypotheses of skewness being related either to current or to future returns in the home market. The US implied distribution has been consistently more negatively skewed than those in Japan and the UK, so factors are at work in the US option market which do not apply elsewhere, the most likely being portfolio-insuring behaviour by fund managers.
日本宏观经济公告对美元/日元汇率的影响
DOI：
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发表时间：
2009
期刊：
影响因子：
--
作者：
Hara;H.;Aoki;S. and Takemura;A.;丸山敦裕;柄谷利恵子;中田邦博;百原 新;伊藤隆敏;H.Tanizaki;本久洋一;吉澤誠一郎;松田素二;亀田修一;YAMAKAGE Susumu;本久洋一;高橋美由紀;橋本優子
通讯作者：
橋本優子