Impacts of implied volatility on stock price realized jumps

Alex Huang ()

Economic Systems, 2016, vol. 40, issue 4, 622-630

Abstract: This paper investigates the impact of ex ante implied volatility on stock price realized jumps. In particular, it examines how the different behaviors of informed and noise traders affect stock price jumps. We find that ex ante implied volatility interacts with the level of information quality for a stock when leading realized jumps, and that the direction of the relation changes across the states of the business cycle. We also document an asymmetric impact from ex ante implied volatility on price jumps across stocks with different degrees of information-based trading activity.

Keywords: Stock price jump; Implied volatility; Information risk (search for similar items in EconPapers)
JEL-codes: G02 G12 G14 (search for similar items in EconPapers)
Date: 2016
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecosys:v:40:y:2016:i:4:p:622-630

DOI: 10.1016/j.ecosys.2016.02.007

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