Research Article
Can the Implied Information of Options Predict the Liquidity of Stock Market? A Data-Driven Research Based on SSE 50ETF Options
Table 5
Forecasting power of IVS on stock market liquidity.
| | Panel A: short-term forecasting power of IVS on stock market liquidity | | 1 d | 5 d | 10 d | 30 d | 60 d | 90 d | 120 d |
| | IVS | 0.032 (2.76) | 0.037 (3.18) | 0.048 (4.19) | 0.062 (5.43) | 0.051 (4.45) | 0.026 (2.00) | 0.023 (2.43) | | | RF | −2.941 (−5.19) | −2.825 (−4.97) | −2.686 (−4.73) | −1.283 (−2.26) | 1.707 (3.05) | 3.476 (5.49) | 2.856 (6.20) | | | SIR | −0.071 (−0.94) | −0.117 (−1.55) | 0.055 (0.72) | 0.072 (0.95) | 0.121 (1.61) | −0.048 (−0.59) | 0.000 (0.01) | | | ER | −0.025 (−5.33) | −0.262 (−5.69) | −0.028 (−6.10) | −0.029 (−6.33) | −0.023 (−5.02) | −0.013 (−2.65) | 0.001 (0.24) | | | CIR | 0.061 (4.35) | 0.044 (3.16) | 0.034 (2.43) | 0.013 (0.91) | 0.012 (0.91) | 0.002 (0.09) | 0017 (1.51) | | | Adjusted R2 (%) | 3.82 | 3.46 | 3.39 | 3.88 | 5.80 | 4.66 | 4.43 | |
| | Panel B: medium- and long-term forecasting power of IVS on stock market liquidity | | | 150 d | 180 d | 210 d | 240 d | 270 d | 300 d | 330 d | 360 d |
| | IVS | 0.048 (5.04) | 0.047 (4.78) | 0.025 (2.53) | 0.034 (1.63) | 0.025 (2.60) | 0.009 (0.89) | −0.003 (−0.29) | 0.008 (0.78) | | RF | 2.809 (6.15) | 3.460 (7.57) | 5.007 (10.89) | 5.616 (12.39) | 5.475 (11.45) | 5.318 (10.94) | 5.498 (11.31) | 4.074 (8.18) | | SIR | 0.008 (0.14) | 0.023 (0.37) | −0.009 (−0.14) | −0.030 (−0.49) | −0.051 (−0.85) | −0.014 (−0.23) | −0.005 (−0.09) | −0.118 (−1.85) | | ER | 0.006 (1.74) | 0.014 (3.78) | 0.027 (7.23) | 0.036 (10.33) | 0.039 (10.78) | 0.044 (11.91) | 0.051 (13.48) | 0.049 (12.44) | | CIR | 0.002 (0.15) | 0.012 (1.11) | 0.012 (1.06) | −0.006 (−0.52) | −0.009 (−0.82) | −0.013 (−1.04) | 0.010 (0.82) | 0.003 (0.21) | | Adjusted R2 (%) | 5.94 | 7.49 | 11.11 | 12.79 | 15.81 | 15.75 | 17.47 | 14.74 |
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