Research Article
Can the Implied Information of Options Predict the Liquidity of Stock Market? A Data-Driven Research Based on SSE 50ETF Options
Table 6
Forecasting power of VRP on stock market liquidity.
| | Panel A: short-term forecasting power of VRP on stock market liquidity | | 1 d | 5 d | 10 d | 30 d | 60 d | 90 d | 120 d |
| | VRP | −0.051 (−4.08) | −0.042 (−3.35) | −0.038 (−2.99) | 0.025 (1.98) | −0.001 (−0.03) | 0.010 (0.91) | −0.004 (−0.43) | | | RF | −2.640 (−4.86) | −2.432 (−4.45) | −2.120 (−3.87) | −0.354 (−0.64) | 2.404 (4.43) | 2.879 (5.78) | 3.177 (7.25) | | | SIR | −0.048 (−0.64) | −0.097 (−1.28) | 0.074 (0.97) | 0.067 (0.88) | 0.125 (1.66) | 0.024 (0.35) | 0.006 (0.09) | | | ER | −0.023 (−5.19) | −0.024 (−5.38) | −0.025 (−5.52) | −0.023 (−5.00) | −0.018 (−4.08) | −0.008 (−1.86) | 0.003 (0.82) | | | CIR | 0.061 (4.39) | 0.044 (3.14) | 0.033 (2.34) | 0.008 (0.59) | 0.010 (0.70) | −0.010 (−0.75) | 0.016 (1.40) | | | Adjusted R2 (%) | 4.42 | 3.54 | 2.81 | 2.17 | 4.49 | 3.78 | 4.05 | |
| | Panel B: medium- and long-term forecasting power of VRP on stock market liquidity | | | 150 d | 180 d | 210 d | 240 d | 270 d | 300 d | 330 d | 360 d |
| | VRP | −0.012 (−1.17) | −0.009 (−0.86) | −0.004 −0.37) | −0.001 (−0.10) | 0.004 (0.37) | 0.011 (1.01) | 0.008 (0.76) | 0.007 (0.58) | | RF | 3.457 (7.92) | 4.082 (9.33) | 5.315 (12.28) | 5.335 (12.28) | 5.790 (12.79) | 5.491 (11.83) | 5.504 (11.80) | 4.240 (8.87) | | SIR | 0.019 (0.31) | 0.033 (0.54) | −0.001 (−0.02) | −0.050 (−0.83) | −0.050 (−0.83) | −0.020 −0.33) | −0.013 (−0.21) | −0.120 (−1.89) | | ER | 0.011 (2.96) | 0.019 (5.15) | 0.029 (8.29) | 0.036 (10.34) | 0.042 (12.11) | 0.045 (12.80) | 0.049 (13.85) | 0.048 (12.97) | | CIR | −0.001 (−0.11) | 0.009 (0.76) | 0.010 (0.90) | −0.004 (−0.31) | −0.011 (−0.95) | −0.014 (−1.11) | 0.009 (0.72) | 0.002 (0.13) | | Adjusted R2 (%) | 4.28 | 5.95 | 10.67 | 12.43 | 15.36 | 15.74 | 17.20 | 14.34 |
|
|
