COVID-19 and market expectations: Evidence from option-implied densities

We compare risk-neutral densities from equity index options across several countries during the early phase of the COVID-19 pandemic. The initial reaction in all analyzed markets was late, abrupt and simultaneous. Only a few weeks later, densities started to differ across markets.

Detalles Bibliográficos
Autores principales: Hanke, Michael, Kosolapova, Maria, Weissensteiner, Alex
Formato: Online Artículo Texto
Lenguaje:English
Publicado: The Authors. Published by Elsevier B.V. 2020
Materias:
Article
Acceso en línea:https://www.ncbi.nlm.nih.gov/pmc/articles/PMC7381403/
https://www.ncbi.nlm.nih.gov/pubmed/32834239
http://dx.doi.org/10.1016/j.econlet.2020.109441
Descripción
Sumario:We compare risk-neutral densities from equity index options across several countries during the early phase of the COVID-19 pandemic. The initial reaction in all analyzed markets was late, abrupt and simultaneous. Only a few weeks later, densities started to differ across markets.

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