Macroeconomic factors and index option returns

Lai, Ya-Wen

doi:10.1016/j.iref.2016.11.002

Cited by 8 publications

(3 citation statements)

References 55 publications

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“…Volatility‐motivated investors have superior information about the underlying asset's volatility dynamics. They satisfy their demand for volatility by constructing volatility trading strategies with various options series (Chen, Chung, & Yuan, 2014; Gharghori et al, 2017; Holowczak, Hu, & Wu, 2014; Lai, 2017; Le & Zurbruegg, 2016; Ryu & Yang, 2019; Ryu, Ryu, & Yang, 2020). The significant role of volatility‐motivated investors is reflected in volatility‐informed trading in the options market.…”

Section: Related Literaturementioning

confidence: 99%

The impact of net buying pressure on index options prices

Ryu

Yang

2020

Journal of Futures Markets

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This study examines whether the demand for options, as measured by the net buying pressure of index options, explains the implied volatility structure created by options prices. We decompose the buying pressure into the direction‐motivated (i.e., delta‐informed) and the volatility‐motivated (i.e., vega‐informed) demand for options. After controlling for options traders' hedging demand, we find that both delta‐ and vega‐informed trading play significant roles in explaining changes in implied volatility. Foreign institutions are more directionally informed in index options trading than their domestic counterparts are. Domestic investors effectively implement volatility trading using put options.

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Section: Related Literaturementioning

confidence: 99%

The impact of net buying pressure on index options prices

Ryu

Yang

2020

Journal of Futures Markets

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“…Pástor and Veronesi () construct a theoretical model that decomposes equity risk premium into two components, which correspond to fundamental economic shocks and political shocks. Lai () empirically investigates whether economic factors are priced in options returns and indicates that risk premia on macroeconomic factors are significant.…”

Section: Theoretical Predictions and Hypothesis Developmentmentioning

confidence: 99%

Do country risk and ﬁnancial uncertainty matter for energy commodity futures?

Lee

Lien

2018

Journal of Futures Markets

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Using an instrumental variable quantile regression technique, this paper assesses whether country risk and financial uncertainty exert an impact on energy commodity futures prices under different commodity conditional return distributions over the period from January 1994 to July 2017. We also discuss whether the correlations change with different dimensions of country risk, that is economic, financial, and political. The results reveal that country risk and financial stress do have a significant impact on energy commodity returns of futures contracts with different maturities, but their direction, intensity, and significance differ, caused by the distinct market situations and divergent channels of country risk.

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“…(Beltratti and Morana, 2010). Macroeconomic activities has direct impact on prices of assets since the risk-adjusted discount rates and cash flow of organizations chang-es with the condition of economy (9). The role of real estate market in the economy is very significant to monetary policy makers.…”

Section: Introductionmentioning

confidence: 99%

An Overview of Macro-Economic Determinants of Real Estate Price in Nigeria

Alkali¹,

Sipan²,

Razali³

2018

IJET

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Understanding the relationship between real estate price and macroeconomic variables in developed countries is appreciated first by considering the housing role in the macro economy. In modern capitalist economy, real estate sector remains the most important element of aggregate demand. Since residential real estate comprises the bulk of country’s tangible capital, the study on relationship between residential real estate price and macro economic variables are very significant for formulation of social and economic policies. The aim of this study is to examines the relationship between real estate residential price and macroeconomic variables in Nigerian economy. The study identified GDP, inflation rate, exchange rate, interest rate and crude oil price as the major determinants of real estate price in Nigeria and they have significant impact on real estate market in general.

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Macroeconomic factors and index option returns

Cited by 8 publications

References 55 publications

The impact of net buying pressure on index options prices

The impact of net buying pressure on index options prices

Do country risk and ﬁnancial uncertainty matter for energy commodity futures?

An Overview of Macro-Economic Determinants of Real Estate Price in Nigeria

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