Research Article
Can the Implied Information of Options Predict the Liquidity of Stock Market? A Data-Driven Research Based on SSE 50ETF Options
Table 10
Robustness test: based on turnover IVS to predict the liquidity of stock market.
| | | 1 d | 5 d | 10 d | 30 d | 60 d | 90 d | 120 d | 150 d |
| | IVS | −0.728 (−3.02) | −0.642 (−2.65) | −0.489 (−2.00) | −0.627 (−2.50) | −0.744 (−2.85) | −0.171 (−0.69) | −0.634 (-2.79) | −0.481 (−2.3) |
| | | 180 d | 210 d | 240 d | 270 d | 300 d | 330 d | 360 d | |
| | IVS | −0.476 (−2.38) | −0.577 (−3.08) | −0.435 (−2.44) | −0.049 (−0.27) | −0.355 (−1.89) | 0.601 (3.24) | −0.043 (−0.23) | |
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