Predictive power of implied volatility of structured call warrants: Evidence from Singapore

Najmi Ismail Murad Samsudin, Azhar Mohamad, Imtiaz Mohammad Sifat and Zarinah Hamid

International Journal of Finance & Economics, 2022, vol. 27, issue 4, 4412-4430

Abstract: This paper examines the information content of implied volatility of structured call warrants in the Singapore Stock Exchange. The study is among the first to examine the implied volatility of equity options (structured call warrants) outside the United States. Using a daily dataset for 252 trading days between August 1, 2014 and July 31, 2015, we test whether implied volatility is an unbiased estimate of realized volatility (RV). In other words, we ask whether implied volatility contains information on future RV, and scrutinize the efficiency of implied volatility and its predictive power compared to historical volatility (HV). Our findings suggest that although implied volatility does contain some relevant information about future volatility, it remains a biased forecast of RV. The efficiency of implied volatility is trivial, and its predictive power is not superior to HV.

Date: 2022
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
https://doi.org/10.1002/ijfe.2379

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:wly:ijfiec:v:27:y:2022:i:4:p:4412-4430

Ordering information: This journal article can be ordered from
http://jws-edcv.wile ... PRINT_ISSN=1076-9307

Access Statistics for this article

International Journal of Finance & Economics is currently edited by Mark P. Taylor, Keith Cuthbertson and Michael P. Dooley

More articles in International Journal of Finance & Economics from John Wiley & Sons, Ltd.
Bibliographic data for series maintained by Wiley Content Delivery ().