Research Article
Can the Implied Information of Options Predict the Liquidity of Stock Market? A Data-Driven Research Based on SSE 50ETF Options
Table 7
Forecasting power of weekly and monthly IV, IVS, and VRP on market liquidity.
| | | 4 weeks | 8 weeks | 12 weeks | 16 weeks | | 1 months | 2 months | 3 months | 4 months |
| | IVW | 0.111 (7.30) | 0.087 (5.55) | 0.072 (4.48) | 0.035 (2.22) | IVm | 0.180 (5.70) | 0.138 (3.98) | 0.108 (2.99) | 0.063 (2.11) |
| | IVSW | 0.033 (1.87) | 0.059 (3.36) | 0.057 (3.21) | 0.027 (1.57) | IVSm | 0.051 (1.06) | 0.069 (1.44) | 0.061 (1.28) | 0.033 (0.86) |
| | VRPW | 0.058 (2.34) | 0.020 (0.82) | −0.003 (−0.30) | 0.006 (0.25) | VRPm | 0.085 (1.10) | −0.011 (−0.14) | −0.010 (−0.13) | 0.010 (0.16) |
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Note. IVW, IVSW, and VRPW are weekly IV, IVS, and VRP; IVm, IVSm, and VRPm are monthly IV, IVS, and VRP, respectively.
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