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

This paper examines the information content of implied volatility of structuredcall 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 d...

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Main Authors: Murad Samsudin, Najmi Ismail, Mohamad, Azhar, Mohammad Sifat, Imtiaz, Hamid, Zarinah
Format: Article
Language:English
English
English
Published: John Wiley & Sons, Ltd. 2020
Subjects:
HG Finance
HG4501 Stocks, investment, speculation
Online Access:http://irep.iium.edu.my/87371/7/87371_Predictive%20power%20of%20implied%20volatility%20of%20structured_WoS.pdf
http://irep.iium.edu.my/87371/8/87371_Predictive%20power%20of%20implied%20volatility%20of%20structured.pdf
http://irep.iium.edu.my/87371/9/87371_Predictive%20power%20of%20implied%20volatility%20of%20structured_SCOPUS.pdf
http://irep.iium.edu.my/87371/
https://doi.org/10.1002/ijfe.2379
https://doi.org/10.1002/ijfe.2379
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spelling my.iium.irep.873712021-02-11T04:23:34Z http://irep.iium.edu.my/87371/ Predictive power of implied volatility of structured call warrants: evidence from Singapore Murad Samsudin, Najmi Ismail Mohamad, Azhar Mohammad Sifat, Imtiaz Hamid, Zarinah HG Finance HG4501 Stocks, investment, speculation This paper examines the information content of implied volatility of structuredcall 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. John Wiley & Sons, Ltd. 2020-12 Article PeerReviewed application/pdf en http://irep.iium.edu.my/87371/7/87371_Predictive%20power%20of%20implied%20volatility%20of%20structured_WoS.pdf application/pdf en http://irep.iium.edu.my/87371/8/87371_Predictive%20power%20of%20implied%20volatility%20of%20structured.pdf application/pdf en http://irep.iium.edu.my/87371/9/87371_Predictive%20power%20of%20implied%20volatility%20of%20structured_SCOPUS.pdf Murad Samsudin, Najmi Ismail and Mohamad, Azhar and Mohammad Sifat, Imtiaz and Hamid, Zarinah (2020) Predictive power of implied volatility of structured call warrants: evidence from Singapore. International Journal of Finance & Economics, 17 December 2020. pp. 1-19. ISSN 1076-9307 E-ISSN 1099-1158 https://doi.org/10.1002/ijfe.2379 https://doi.org/10.1002/ijfe.2379
institution Universiti Islam Antarabangsa Malaysia
building IIUM Library
collection Institutional Repository
continent Asia
country Malaysia
content_provider International Islamic University Malaysia
content_source IIUM Repository (IREP)
url_provider http://irep.iium.edu.my/
language English
English
English
topic HG Finance
HG4501 Stocks, investment, speculation
spellingShingle HG Finance
HG4501 Stocks, investment, speculation
Murad Samsudin, Najmi Ismail
Mohamad, Azhar
Mohammad Sifat, Imtiaz
Hamid, Zarinah
Predictive power of implied volatility of structured call warrants: evidence from Singapore
description This paper examines the information content of implied volatility of structuredcall 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.
format Article
author Murad Samsudin, Najmi Ismail
Mohamad, Azhar
Mohammad Sifat, Imtiaz
Hamid, Zarinah
author_facet Murad Samsudin, Najmi Ismail
Mohamad, Azhar
Mohammad Sifat, Imtiaz
Hamid, Zarinah
author_sort Murad Samsudin, Najmi Ismail
title Predictive power of implied volatility of structured call warrants: evidence from Singapore
title_short Predictive power of implied volatility of structured call warrants: evidence from Singapore
title_full Predictive power of implied volatility of structured call warrants: evidence from Singapore
title_fullStr Predictive power of implied volatility of structured call warrants: evidence from Singapore
title_full_unstemmed Predictive power of implied volatility of structured call warrants: evidence from Singapore
title_sort predictive power of implied volatility of structured call warrants: evidence from singapore
publisher John Wiley & Sons, Ltd.
publishDate 2020
url http://irep.iium.edu.my/87371/7/87371_Predictive%20power%20of%20implied%20volatility%20of%20structured_WoS.pdf
http://irep.iium.edu.my/87371/8/87371_Predictive%20power%20of%20implied%20volatility%20of%20structured.pdf
http://irep.iium.edu.my/87371/9/87371_Predictive%20power%20of%20implied%20volatility%20of%20structured_SCOPUS.pdf
http://irep.iium.edu.my/87371/
https://doi.org/10.1002/ijfe.2379
https://doi.org/10.1002/ijfe.2379
_version_ 1691732913977032704
score 13.211869

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