Cargando…

Have returns and volatilities for financial assets responded to implied volatility during the COVID-19 pandemic?

This paper uses transfer entropy measures to analyze the information sharing between the option implied volatility, the realized volatility and the returns of six financial assets during the COVID-19 pandemic. The measures indicate increases in the information transmissions during the pandemic which...

Descripción completa

Detalles Bibliográficos
Autores principales: Maghyereh, Aktham, Abdoh, Hussein, Awartani, Basel
Formato: Online Artículo Texto
Lenguaje:English
Publicado: Elsevier B.V. 2022
Materias:
Acceso en línea:https://www.ncbi.nlm.nih.gov/pmc/articles/PMC9765873/
http://dx.doi.org/10.1016/j.jcomm.2021.100194
_version_ 1784853593219661824
author Maghyereh, Aktham
Abdoh, Hussein
Awartani, Basel
author_facet Maghyereh, Aktham
Abdoh, Hussein
Awartani, Basel
author_sort Maghyereh, Aktham
collection PubMed
description This paper uses transfer entropy measures to analyze the information sharing between the option implied volatility, the realized volatility and the returns of six financial assets during the COVID-19 pandemic. The measures indicate increases in the information transmissions during the pandemic which are uniform across the volatilities and the returns of all assets. In these transmissions, the option implied volatilities are found to play the central role, particularly in the returns of the assets as opposed to its realized volatilities. Thus, we may conclude that the predictability of the volatilities derived from option pricing models has improved during the pandemic and that this improvement has reduced the uncertainty of the future returns and the volatilities, albeit to a lower extent. These findings bear implications for constructing models that predict volatilities and returns during crises periods.
format Online
Article
Text
id pubmed-9765873
institution National Center for Biotechnology Information
language English
publishDate 2022
publisher Elsevier B.V.
record_format MEDLINE/PubMed
spelling pubmed-97658732022-12-21 Have returns and volatilities for financial assets responded to implied volatility during the COVID-19 pandemic? Maghyereh, Aktham Abdoh, Hussein Awartani, Basel Journal of Commodity Markets Article This paper uses transfer entropy measures to analyze the information sharing between the option implied volatility, the realized volatility and the returns of six financial assets during the COVID-19 pandemic. The measures indicate increases in the information transmissions during the pandemic which are uniform across the volatilities and the returns of all assets. In these transmissions, the option implied volatilities are found to play the central role, particularly in the returns of the assets as opposed to its realized volatilities. Thus, we may conclude that the predictability of the volatilities derived from option pricing models has improved during the pandemic and that this improvement has reduced the uncertainty of the future returns and the volatilities, albeit to a lower extent. These findings bear implications for constructing models that predict volatilities and returns during crises periods. Elsevier B.V. 2022-06 2021-05-06 /pmc/articles/PMC9765873/ http://dx.doi.org/10.1016/j.jcomm.2021.100194 Text en © 2021 Elsevier B.V. All rights reserved. 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
Maghyereh, Aktham
Abdoh, Hussein
Awartani, Basel
Have returns and volatilities for financial assets responded to implied volatility during the COVID-19 pandemic?
title Have returns and volatilities for financial assets responded to implied volatility during the COVID-19 pandemic?
title_full Have returns and volatilities for financial assets responded to implied volatility during the COVID-19 pandemic?
title_fullStr Have returns and volatilities for financial assets responded to implied volatility during the COVID-19 pandemic?
title_full_unstemmed Have returns and volatilities for financial assets responded to implied volatility during the COVID-19 pandemic?
title_short Have returns and volatilities for financial assets responded to implied volatility during the COVID-19 pandemic?
title_sort have returns and volatilities for financial assets responded to implied volatility during the covid-19 pandemic?
topic Article
url https://www.ncbi.nlm.nih.gov/pmc/articles/PMC9765873/
http://dx.doi.org/10.1016/j.jcomm.2021.100194
work_keys_str_mv AT maghyerehaktham havereturnsandvolatilitiesforfinancialassetsrespondedtoimpliedvolatilityduringthecovid19pandemic
AT abdohhussein havereturnsandvolatilitiesforfinancialassetsrespondedtoimpliedvolatilityduringthecovid19pandemic
AT awartanibasel havereturnsandvolatilitiesforfinancialassetsrespondedtoimpliedvolatilityduringthecovid19pandemic