The information content of implied volatility in the Hong Kong and Singapore covered warrants markets

Cheny Chen, Ming-Hua Liu and Hoa Nguyen

Working Papers from Deakin University, Department of Economics

Abstract: This paper examines the informational content and predictive power of implied volatility over different forecasting horizons in a sample of European covered warrants traded in the Hong Kong and Singapore markets. The empirical results show that time-series-based volatility forecasts outperform implied volatility forecast as a predictor of future volatility. The finding also suggests that implied volatility is biased and informationally inefficient. The results are due to the fact in Hong Kong and Singapore the covered warrants markets are dominated by retail investors, who tend to use covered warrants’ leverage to speculate on the price movements of the underlying rather than to express their view on volatility.

Date: 2007-09-30
References: Add references at CitEc
Citations:

There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:dkn:acctwp:aef_2007_16

Access Statistics for this paper

More papers in Working Papers from Deakin University, Department of Economics Contact information at EDIRC.
Bibliographic data for series maintained by Xueli Tang ().