Research Article
Can the Implied Information of Options Predict the Liquidity of Stock Market? A Data-Driven Research Based on SSE 50ETF Options
Table 4
Medium- and long-term forecasting power of IV on stock market liquidity.
| | | 150 d | 180 d | 210 d | 240 d | 270 d | 300 d | 330 d | 360 d |
| | IV | 0.015 (1.18) | 0.007 (0.54) | 0.023 (1.84) | −0.020 (−1.64) | −0.010 (−0.78) | −0.005 (−0.40) | −0.018 (−1.45) | −0.033 (−2.52) |
| | RF | 3.878 (7.11) | 4.279 (7.84) | 5.937 (11.04) | 4.961 (9.05) | 5.565 (9.92) | 5.316 (9.38) | 4.999 (8.81) | 3.367 (5.80) |
| | SIR | 0.022 (0.36) | 0.033 (0.53) | 0.009 (0.15) | −0.063 (−1.05) | −0.054 (−0.89) | −0.017 (−0.27) | −0.017 (−0.27) | −0.135 (−2.12) |
| | ER | 0.015 (2.98) | 0.021 (3.99) | 0.036 (6.98) | 0.030 (5.85) | 0.039 (7.50) | 0.043 (8.21) | 0.044 (8.32) | 0.039 (7.25) |
| | CIR | −0.003 (−0.25) | 0.008 (0.67) | 0.008 (0.73) | 0.009 (0.82) | −0.010 (−0.87) | −0.012 (−1.03) | 0.012 (0.95) | 0.006 (0.50) |
| | Adjusted R2 (%) | 4.28 | 5.92 | 10.92 | 12.78 | 15.40 | 15.70 | 17.47 | 15.00 |
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