Informational role of futures volume for spot volatility

IF 2.1 Q2 BUSINESS, FINANCE

Pacific Accounting Review Pub Date : 2021-08-18 DOI:10.1108/par-01-2020-0005

Shailesh Rastogi, V. Tripathi, Sunaina Kuknor

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引用次数: 4

Abstract

Purpose The paper aims to explore the informational role of futures volume in the simultaneous relationship between option volume and spot volatility to forecast the volatility of the underlying asset. Design/methodology/approach The generalized method of moments is used to estimate the simultaneous equations of endogeneity between spot volatility and option volume. Futures volume is specified as an exogenous variable in both legs of the estimation of simultaneous equations. However, the future volume is also tested as a dependent variable to prove preference for investment by informed investors in futures along with options. Findings The result indicates that futures volume has a significant association with the bi-directional simultaneous equation estimation between spot volatility and option volume. Moreover, the result of this paper proves that informed investors also prefer futures markets over the spot market. However, there is no change observed in the relationship between option volume and spot volatility due to either call or put options or moneyness. Originality/value The possible role of futures volume in the simultaneous equations between spot volatility and option volume has not yet been researched. This paper pioneers in demonstrating that futures volume is an exogenous variable in the simultaneous equation modeling between spot volatility and option volume. Moreover, in the contemporaneous as well as predictive relationships between spot volatility and option volume, futures volume as an exogenous variable is significant in forecasting spot volatility. In addition to this, the current paper uniquely provides evidence of investment in futures also over the spot market by informed investors.

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期货交易量对现货波动的信息作用

目的探讨期货交易量在期权交易量与现货波动率同时关系中的信息作用，以预测标的资产的波动性。设计/方法论/方法广义矩法用于估计现货波动率和期权交易量之间的内生性联立方程。期货交易量在联立方程估计的两个分支中都被指定为外生变量。然而，未来交易量也作为因变量进行了测试，以证明知情投资者对期货和期权的投资偏好。研究结果表明，期货交易量与现货波动率和期权交易量之间的双向联立方程估计存在显著相关性。此外，本文的结果证明，知情投资者也更喜欢期货市场而不是现货市场。然而，由于看涨或看跌期权或货币性，期权数量和现货波动率之间的关系没有变化。原创性/价值期货交易量在现货波动率和期权交易量联立方程中的可能作用尚未研究。在现货波动率和期权交易量的联立方程模型中，期货交易量是一个外生变量。此外，在现货波动率和期权交易量之间的同期和预测关系中，期货交易量作为外生变量在预测现货波动率方面具有重要意义。除此之外，目前的论文独特地提供了知情投资者在现货市场上投资期货的证据。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Pacific Accounting Review BUSINESS, FINANCE-

CiteScore

3.80

自引率

9.50%

发文量

期刊介绍： Pacific Accounting Review is a quarterly journal publishing original research papers and book reviews. The journal is supported by all New Zealand Universities and has the backing of academics from many universities in the Pacific region. The journal publishes papers from both empirical and theoretical forms of research into current developments in accounting and finance and provides insight into how present practice is shaped and formed. Specific areas include but are not limited to: - Emerging Markets and Economies - Political/Social contexts - Financial Reporting - Auditing and Governance - Management Accounting.