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- W4286267367 abstract "This paper examines the impact of the implied volatility information in SSE 50 ETF options on the underlying securities volatility. After segmenting options according to option type, moneyness, time to maturity and trading years, we confirm that options contain implied volatility information about the underlying securities, and there is a significant positive effect of the volatility risk premium on the volatility of underlying securities. As for the regression coefficient of volatility risk premium, the call option is higher than the put option due to the investors' risk aversion, and the long-term option is higher than the short-term option. With the moneyness from DOTM to DITM, the call options decrease while the put options increase for the existence of skew and kurtosis risk." @default.
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- W4286267367 date "2022-11-01" @default.
- W4286267367 modified "2023-10-14" @default.
- W4286267367 title "Implied volatility information of Chinese SSE 50 ETF options" @default.
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- W4286267367 doi "https://doi.org/10.1016/j.iref.2022.07.009" @default.
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