谨防极端的投资者情绪!神经特异性期权波动率交易策略在COVID-19方面表现的印度证据

IF 1.2 Q3 BUSINESS, FINANCE

Journal of Emerging Market Finance Pub Date : 2023-07-12 DOI:10.1177/09726527231165820

Ansu Royit, Babu Jose, James Varghese

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引用次数: 0

摘要

本研究调查了新冠肺炎疫情期间印度金融市场噪音交易者情绪与过度波动之间的动态关系。它提出了新的期权交易策略，以确保在非理性繁荣时期的盈利能力，并满足波动性交易者的各种投资要求，这些要求源于人体中不同水平的刺激性神经递质，即多巴胺和血清素。实证结果表明，情绪指标的增量信息含量对预测未来波动性至关重要，所提出的期权交易策略有效地实现了印度股市极端波动期间交易员的神经特定意图。JEL代码：G12、G13

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Beware of Extreme Investor Sentiments! Indian Evidence on the Performance of Neuro-specific Options Volatility Trading Strategies on the Facets of COVID-19

This study investigates the dynamic relationship between noise trader sentiment and excessive volatility in the Indian financial market during the COVID-19 outbreak. It proposes novel options trading strategies to ensure profitability in times of irrational exuberance and to satisfy diverse investment requirements of volatility traders, which arise from the varying levels of stimulating neurotransmitters, namely dopamine and serotonin in the human body. Empirical results show that the incremental information content of sentiment measures is vital in forecasting future volatility and the proposed options trading strategies effectively accomplish the neuro-specific intentions of the traders during extreme volatility in the Indian equity market. JEL Codes: G12, G13

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来源期刊

Journal of Emerging Market Finance BUSINESS, FINANCE-

CiteScore

1.80

自引率

33.30%

发文量

期刊介绍： The Journal of Emerging Market Finance is a forum for debate and discussion on the theory and practice of finance in emerging markets. While the emphasis is on articles that are of practical significance, the journal also covers theoretical and conceptual aspects relating to emerging financial markets. Peer-reviewed, the journal is equally useful to practitioners and to banking and investment companies as to scholars.