Please use this identifier to cite or link to this item: http://hdl.handle.net/10397/13908
Title: The predictive power of the implied volatility of options traded OTC and on exchanges
Authors: Yu, WW
Lui, ECK
Wang, JW
Keywords: Historical volatility
Implied volatility
Index options
Over-the-counter
Predictive power
Issue Date: 2010
Publisher: Elsevier
Source: Journal of banking and finance, 2010, v. 34, no. 1, p. 1-11 How to cite?
Journal: Journal of banking and finance 
Abstract: This paper investigates the efficiency of stock index options traded over-the-counter (OTC) and on the exchanges in Hong Kong and Japan. Our findings suggest that implied volatility is superior to either historical volatility or a GARCH-type volatility forecast in predicting future volatility in both the OTC and exchange markets. This paper is also one of the first to compare the predictive power of the implied volatility of stock index options traded OTC to that of exchange-traded stock index options. Our evidence suggests that the OTC market is more efficient than the exchanges in Japan, but that the opposite is true in Hong Kong.
URI: http://hdl.handle.net/10397/13908
ISSN: 0378-4266
EISSN: 1872-6372
DOI: 10.1016/j.jbankfin.2009.06.017
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