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dc.contributor.advisorLiu, Ming-Hua
dc.contributor.authorChen, Cheny
dc.date.accessioned2018-02-28T03:04:56Z
dc.date.available2018-02-28T03:04:56Z
dc.date.copyright2006
dc.identifier.urihttp://hdl.handle.net/10292/11357
dc.description.abstractThis dissertation examines European-style call covered warrants traded on the Hong Kong Exchanges and Clearing (HKEx) and the Singapore Exchange (SGX). The concept of implied volatility is derived from the Black-Scholes model and this study sets out to investigate its information content. The predictive power of implied volatility is tested with time-series models including the historical standard deviation, GARCH-based, and EGARCH-based volatility. In particular, this study examines the usefulness of implied volatility over different forecasting horizons. The empirical results are consistent in both Hong Kong and Singapore which indicate that the time-series-based volatility forecasts outperform the implied volatility forecast. The information content of implied volatility is inefficient compared to the time-series-based volatilities, and the implied volatility is a biased forecast of future volatility. However, the implied volatility seems to increase in significance when related to forecasting horizons. The main findings are robust to different data frequency and measurement error.en_NZ
dc.language.isoenen_NZ
dc.publisherAuckland University of Technology
dc.subjectOptions (Finance) -- Prices -- Mathematical modelsen_NZ
dc.subjectStock options -- Prices -- Mathematical modelsen_NZ
dc.subjectSpeculationen_NZ
dc.titleDo option traders know better about volatility forecasting?en_NZ
dc.typeDissertationen_NZ
thesis.degree.grantorAuckland University of Technology
thesis.degree.nameMaster of Businessen_NZ
dc.rights.accessrightsOpenAccess


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