COVID-19 and market expectations: Evidence from option-implied densities

Michael Hanke, Maria Kosolapova and Alex Weissensteiner

Economics Letters, 2020, vol. 195, issue C

Abstract: We compare risk-neutral densities from equity index options across several countries during the early phase of the COVID-19 pandemic. The initial reaction in all analyzed markets was late, abrupt and simultaneous. Only a few weeks later, densities started to differ across markets.

Keywords: COVID-19; Risk-neutral densities; Equity index options (search for similar items in EconPapers)
JEL-codes: G01 G13 (search for similar items in EconPapers)
Date: 2020
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Citations: View citations in EconPapers (12)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:195:y:2020:i:c:s0165176520302743

DOI: 10.1016/j.econlet.2020.109441

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