Investment disputes and their explicit role in option market uncertainty and overall risk instability

0570759 - NHÚ 2024 RIV DE eng J - Journal Article
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
R&D Projects: GA ČR GA18-04630S
Institutional support: RVO:67985998
Keywords : implied volatility * investment disputes * artifcial options
OECD category: Applied Economics, Econometrics
Impact factor: 0.9, year: 2022
Method of publishing: 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.
Permanent Link: https://hdl.handle.net/11104/0342093