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dc.contributor.authorBhabra, Gurmeet Sen_NZ
dc.contributor.authorGonzalez, Maria Lilianaen_NZ
dc.contributor.authorKim, Myeong Supen_NZ
dc.contributor.authorPowell, John Gen_NZ
dc.date.available2011-04-07T03:18:57Z
dc.date.copyright2001-03-16en_NZ
dc.identifier.citationBhabra, G. S., Gonzalez, M. L., Kim, M. S., & Powell, J. G. (2001, March 16). Volatility prediction during prolonged crises: Evidence from Korean index options. University of Otago Department of Finance Seminar Series. Presented at the 2001 University of Otago Seminar 16 March 2001.en
dc.identifier.urihttp://hdl.handle.net/10523/1518
dc.description.abstractThis paper examines KOSPI200 index option prices in order to investigate whether index option implied volatilities foreshadowed the 1997 economic crisis in Korea. Results indicate the absence of strong fears of an impending market downturn prior to the crisis. Put option implied volatilities rose sharply as the crisis intensified, however, and the difference between put and call implied volatilities reached extreme levels compared to results found in previous studies of financial crises in developed markets. The study indicates that option traders reacted to the crisis rather than predicting its onset, perhaps reflecting the youthfulness of the market. Traders also appear to have learned from the crisis as it intensified.en_NZ
dc.format.mimetypeapplication/pdf
dc.relation.ispartofUniversity of Otago Department of Finance Seminar Seriesen_NZ
dc.relation.urihttp://www.business.otago.ac.nz/finc/research/seminars_01.htmlen_NZ
dc.subjectFinancial crises; Volatility; Index options; Implied volatility; Developing marketsen_NZ
dc.subjectVolatility
dc.subjectIndex options
dc.subjectImplied volatility
dc.subjectDeveloping markets
dc.subject.lcshHF Commerceen_NZ
dc.subject.lcshHF5601 Accountingen_NZ
dc.subject.lcshHG Financeen_NZ
dc.titleVolatility prediction during prolonged crises: Evidence from Korean index optionsen_NZ
dc.typeConference or Workshop Item (Seminar, Speech or Other Presentation)en_NZ
dc.description.versionPublisheden_NZ
otago.bitstream.pages16en_NZ
otago.date.accession2007-04-12en_NZ
otago.schoolFinanceen_NZ
otago.openaccessOpen
otago.place.publicationDunedin, New Zealanden_NZ
dc.identifier.eprints593en_NZ
dc.description.refereedNon Peer Revieweden_NZ
otago.school.eprintsFinance & Quantitative Analysisen_NZ
dc.description.referencesBates, D.S., 1991. The Crash of ’87: was it expected? The evidence from option markets. Journal of Finance 46, 1009–1044. Black, F., Scholes, M., 1973. The pricing of options and corporate liabilities. Journal of Political Economy 81, 637–654. Canina, L., Figlewski, S., 1993. The informational content of implied volatility. The Review of Financial Studies 6, 659–681. Chen, J., Hong, H., Stein, J.C., 1999. Forecasting crashes: trading volume, past returns and conditional skewness in stock prices. Stanford University Working Paper. Christensen, B.J., Prabhala, N.R., 1998. The relation between implied and realized Volatility. Journal of Financial Economics 50, 125–150. Corrado, C.J., 1999. General purpose, semi-parametric option pricing formulas. University of Missouri—Columbia Working Paper. Gemmill, G., 1996. Did option traders anticipate the crash? Evidence from volatility smiles in the UK with US comparisons. The Journal of Futures Markets 16, 881–897. International Herald Tribune, 1997. Various Issues. Jackwerth, J.C., Rubinstein, M., 1996. Recovering probability distributions from option prices. Journal of Finance 51, 1611–1652. Samsung Economic Research Institute, 1997. Research Report. Samsung Economic Research Institute Report.en_NZ
otago.event.dates16 March 2001en_NZ
otago.event.placeRoom 2.07, University of Otago, Dunedin, New Zealanden_NZ
otago.event.typeotheren_NZ
otago.event.title2001 University of Otago Seminar 16 March 2001en_NZ
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