Investors’ net buying pressure and implied volatility dynamics
This study reexamines the influence of different investor types' net options demand on the KOSPI200 options-implied volatility dynamics. We extend Bollen and Whaley (2004) by accounting for options traders' hedging demand for futures contracts, intraday seasonality, dynamic impacts of net...
| Published in: | Borsa Istanbul Review |
|---|---|
| Main Authors: | , , , |
| Format: | Article |
| Language: | English |
| Published: |
Elsevier
2022-07-01
|
| Subjects: | |
| Online Access: | http://www.sciencedirect.com/science/article/pii/S2214845021000934 |