Can the Implied Information of Options Predict the Liquidity of Stock Market? A Data-Driven Research Based on SSE 50ETF Options

Table 3

Short-term forecasting power of IV on stock market liquidity.

	1 d	5 d	10 d	30 d	60 d	90 d	120 d
IV	0.133 (9.00)	0.107 (8.75)	0.118 (7.88)	0.097 (6.47)	0.069 (4.60)	0.047 (2.85)	0.038 (3.03)
RF	0.841 (1.30)	0.552 (0.84)	0.944 (1.44)	2.031 (3.07)	4.137 (6.30)	5.014 (6.78)	4.173 (7.66)
SIR	0.002 (0.03)	−0.053 (−0.71)	0.122 (1.62)	0.129 (1.71)	0.161 (2.15)	−0.018 (−0.22)	0.023 (0.38)
ER	0.017 (2.72)	0.010 (1.61)	0.010 (1.64)	0.005 (0.73)	0.002 (0.25)	0.004 (0.60)	0.014 (2.77)
CIR	0.050 (3.65)	0.034 (2.49)	0.023 (1.68)	0.002 (0.18)	0.005 (0.36)	−0.004 (−0.25)	0.013 (1.13)
Adjusted R^2 (%)	8.49	6.60	6.27	4.68	5.89	4.99	4.66