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
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author Hanke, Michael
Kosolapova, Maria
Weissensteiner, Alex
author_facet Hanke, Michael
Kosolapova, Maria
Weissensteiner, Alex
author_sort Hanke, Michael
collection PubMed
description 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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spelling pubmed-73814032020-07-28 COVID-19 and market expectations: Evidence from option-implied densities Hanke, Michael Kosolapova, Maria Weissensteiner, Alex Econ Lett Article 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. The Authors. Published by Elsevier B.V. 2020-10 2020-07-25 /pmc/articles/PMC7381403/ /pubmed/32834239 http://dx.doi.org/10.1016/j.econlet.2020.109441 Text en © 2020 The Authors Since January 2020 Elsevier has created a COVID-19 resource centre with free information in English and Mandarin on the novel coronavirus COVID-19. The COVID-19 resource centre is hosted on Elsevier Connect, the company's public news and information website. Elsevier hereby grants permission to make all its COVID-19-related research that is available on the COVID-19 resource centre - including this research content - immediately available in PubMed Central and other publicly funded repositories, such as the WHO COVID database with rights for unrestricted research re-use and analyses in any form or by any means with acknowledgement of the original source. These permissions are granted for free by Elsevier for as long as the COVID-19 resource centre remains active.
spellingShingle Article
Hanke, Michael
Kosolapova, Maria
Weissensteiner, Alex
COVID-19 and market expectations: Evidence from option-implied densities
title COVID-19 and market expectations: Evidence from option-implied densities
title_full COVID-19 and market expectations: Evidence from option-implied densities
title_fullStr COVID-19 and market expectations: Evidence from option-implied densities
title_full_unstemmed COVID-19 and market expectations: Evidence from option-implied densities
title_short COVID-19 and market expectations: Evidence from option-implied densities
title_sort covid-19 and market expectations: evidence from option-implied densities
topic Article
url 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
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