THE IMPACT OF LIQUIDITY ON OPTION PRICES

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题名:	THE IMPACT OF LIQUIDITY ON OPTION PRICES
作者:	Chou,RK;Chung,SL;Hsiao,YJ;Wang,YH
贡献者:	財務金融學系
关键词:	INDIVIDUAL EQUITY OPTIONS;IMPLIED VOLATILITY;STOCK-RETURNS;MARKET;RISK;ILLIQUIDITY;DETERMINANTS;COMMONALITY;SPREAD;YIELDS
日期:	2011
上传时间:	2012-03-27 19:03:36 (UTC+8)
出版者:	國立中央大學
摘要:	This study illustrates the impact of both spot and option liquidity levels on option prices. Using implied volatility to measure the option price structure, our empirical results reveal that even after controlling for the systematic risk of Duan and Wei (2009), a clear link remains between option prices and liquidity; with a reduction (increase) in spot (option) liquidity, there is a corresponding increase in the level of the implied volatility curve. The former is consistent with the explanation on hedging costs provided by Cetin, Jarrow, Protter, and Warachka (2006), whereas the latter is consistent with the "illiquidity premium" hypothesis of Amihud and Mendelson (1986a). This study also shows that the slope of the implied volatility curve can be partially explained by option liquidity. (C) 2011 Wiley Periodicals, Inc. Jrl Fut Mark 31: 1116-1141, 2011
關聯:	JOURNAL OF FUTURES MARKETS
显示于类别:	[財務金融學系] 期刊論文

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