Počet záznamů: 1
Investment disputes and their explicit role in option market uncertainty and overall risk instability
- 1.0570759 - NHÚ 2024 RIV DE eng J - Článek v odborném periodiku
Drábek, Zdeněk - Kopa, M. - Maciak, M. - Pešta, M. - Vitali, S.
Investment disputes and their explicit role in option market uncertainty and overall risk instability.
Computational Management Science. Roč. 20, č. 1 (2023), č. článku 15. ISSN 1619-697X. E-ISSN 1619-6988
Grant CEP: GA ČR GA18-04630S
Institucionální podpora: RVO:67985998
Klíčová slova: implied volatility * investment disputes * artifcial options
Obor OECD: Applied Economics, Econometrics
Impakt faktor: 0.9, rok: 2022
Způsob publikování: Open access
https://doi.org/10.1007/s10287-023-00447-1
We propose a methodological approach for capturing and analyzing the impacts of investment disputes on option markets. A dispute submission typically brings in unspecified uncertainty and additional risk. The implied volatility of options is shown to reflect such effects. However, nontrivial caution and nonstandard statistical techniques are needed to analyze them appropriately. Artificial options with a constant (over time) maturity are introduced to emphasize these effects. A panel data representation of artificial implied volatility smiles is used to ensure the overall model flexibility, transparency, and its practical interpretability. Finally, a stochastically valid changepoint detection procedure is adopted to reveal significant impacts of an investment dispute on the overall riskiness and the stock price evolution. The results show significant impacts of the first tribunal meeting and the first procedural order of the disputes under consideration.
Trvalý link: https://hdl.handle.net/11104/0342093
Počet záznamů: 1