Why do we smile? On the determinants of the implied volatility function
Article Abstract:
The underlying determinants of the well-known pattern of implied volatilities across exercise prices for otherwise identical options, a phenomenon referred to as the volatility smile, are studied. From an analysis of a list of call and put options on the IBEX-35 Spanish index during a 45-minute interval from 4:00 to 4:45 in the afternoon from Jan 1994 and Apr 1996, it was found that the volatility smile phenomenon was constant. Although the curvature of the volatility smile follows a strong seasonal behavior, some economic variables may affect the smile's volatility. These include time to market, relative market momentum, and the volatility of the underlying asset.
Publication Name: Journal of Banking & Finance
Subject: Business
ISSN: 0378-4266
Year: 1999
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The day-of-the-week effect: the international evidence
Article Abstract:
A re-examination of the day-of-the-week effect for 11 indexes from nine countries during the 1969-1992 period found returns to be lower at the beginning of the week, though not necessarily on Monday, for the entire period in consideration, using the standard and the moving average methodologies. However, this trend disappears for the most recent period in the US. It continues to be strong for European countries, Hong Kong and Toronto.
Publication Name: Journal of Banking & Finance
Subject: Business
ISSN: 0378-4266
Year: 1996
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Round-the-clock market efficiency and home bias: Evidence from the international Japanese government bonds futures markets
Article Abstract:
The processing of information in the British and Japanese futures markets is examined in detail.
Publication Name: Journal of Banking & Finance
Subject: Business
ISSN: 0378-4266
Year: 1999
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