选项是否能提高信息吸收？引入周指数期权的证据

IF 16.4 1区化学 Q1 CHEMISTRY, MULTIDISCIPLINARY

Accounts of Chemical Research Pub Date : 2022-02-23 DOI:10.1111/irfi.12372

Prachi Jain, Kiran Kumar Kotha

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引用次数: 0

摘要

本文实证检验了每周期权引入对印度股市基准指数NIFTY50的影响。本文利用GARCH框架，关注信息与波动之间的关系，评估影响潜在波动的可能稳定或不稳定性质。结果表明，周指数期权的引入改善了信息同化，降低了旧信息对波动率的持久性。此外，在对照指数NIFTY NEXT50上，类似的变化并不明显。总体而言，结果表明每周指数期权交易增加了市场效率。

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Does options improve the information absorption? Evidence from the introduction of weekly index options

This paper empirically examines the effect of weekly options introduction on the benchmark index of Indian stock market, NIFTY50. The paper evaluates the possible stabilizing or destabilizing nature of impact on underlying volatility focusing on the relation between information and volatility using GARCH framework. The results indicate that the onset of weekly index options has improved the information assimilation and reduced the persistence of old information on volatility. Further, similar changes are not evident on a control index, NIFTY NEXT50. Overall, the results indicate an increase in market efficiency with weekly index options trading.

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来源期刊

Accounts of Chemical Research 化学-化学综合

CiteScore

31.40

自引率

1.10%

发文量

312

审稿时长

2 months

期刊介绍： Accounts of Chemical Research presents short, concise and critical articles offering easy-to-read overviews of basic research and applications in all areas of chemistry and biochemistry. These short reviews focus on research from the author’s own laboratory and are designed to teach the reader about a research project. In addition, Accounts of Chemical Research publishes commentaries that give an informed opinion on a current research problem. Special Issues online are devoted to a single topic of unusual activity and significance. Accounts of Chemical Research replaces the traditional article abstract with an article "Conspectus." These entries synopsize the research affording the reader a closer look at the content and significance of an article. Through this provision of a more detailed description of the article contents, the Conspectus enhances the article's discoverability by search engines and the exposure for the research.