Please use this identifier to cite or link to this item: http://hdl.handle.net/10397/28897
Title: Moneyness and the response of the implied volatilities to price changes : the empirical evidence from HSI options
Authors: Chan, KC
Cheng, LTW 
Lung, PP
Keywords: Asymmetric responses
Cause-effect relation
HIS options
Implied volatility
Issue Date: 2003
Publisher: North-Holland
Source: Pacific basin finance journal, 2003, v. 11, no. 4, p. 527-553 How to cite?
Journal: Pacific basin finance journal 
Abstract: We examine the intertemporal and asymmetric response from implied volatility changes to price changes under different levels of option moneyness and evaluate the cause-effect relation between implied volatilities and price changes. Based on Hang Seng Index (HSI) options transaction data, we find that asymmetric responses are essentially driven by near-term out-of-the-money call options. In addition, options trading activity affects the response from volatility changes to equity price changes and information is more likely to travel from equity to option markets. We also pool call and put options together to reexamine the relation and find that options with higher exercise price show more significant results in the analysis of asymmetric responses.
URI: http://hdl.handle.net/10397/28897
ISSN: 0927-538X
DOI: 10.1016/S0927-538X(03)00053-2
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