Research Article
Can the Implied Information of Options Predict the Liquidity of Stock Market? A Data-Driven Research Based on SSE 50ETF Options
Table 8
Robustness test: forecasting power of IVS on stock market liquidity at different stage.
| | Panel A: forecasting power at the early stage of development | | 1 d | 5 d | 10 d | 30 d | 60 d | 90 d | 120 d |
| | IVS | 0.000 (0.01) | 0.009 (0.65) | 0.020 (1.50) | 0.041 (3.16) | 0.022 (1.77) | −0.020 (−1.90) | −0.004 (−0.55) | | RF | −1.384 (−1.80) | −1.150 (−1.49) | −0.849 (−1.10) | 1.890 (2.50) | 6.467 (8.91) | 6.265 (10.17) | 5.186 (13.24) | | SIR | 0.127 (1.38) | −0.082 (−0.90) | 0.120 (1.32) | 0.154 (1.71) | 0.169 (1.96) | −0.091 (−1.25) | −0.014 (−0.30) | | ER | −0.055 (−8.98) | −0.056 (−9.22) | 0.060 (−9.82) | −0.070 (−11.74) | −0.068 (−11.90) | −0.038 (−7.89) | −0.017 (−5.77) | | CIR | 0.018 (0.92) | 0.019 (0.99) | −0.008 (−0.40) | −0.027 (−1.43) | −0.024 (−1.32) | −0.02 (−1.20) | −0.013 (−1.39) | | Adjusted R2 (%) | 11.87 | 11.73 | 12.29 | 17.28 | 23.92 | 17.67 | 22.61 |
| | Panel B: forecasting power in the development period | | | 1 d | 5 d | 10 d | 30 d | 60 d | 90 d | 120 d |
| | IVS | 0.060 (2.42) | 0.051 (2.05) | 0.058 (2.30) | 0.034 (1.38) | 0.026 (1.09) | 0.000 (−0.01) | −0.011 (−0.45) | | RF | 3.225 (2.21) | 3.350 (2.27) | 3.132 (2.12) | 4.651 (3.18) | 3.063 (2.13) | 2.743 (1.95) | 1.356 (0.89) | | SIR | −0.449 (−3.50) | −0.224 (−1.73) | −0.083 (−0.64) | −0.161 (−1.25) | −0.046 (−0.36) | −0.008 (−0.06) | 0.004 (−0.87) | | ER | 0.022 (1.72) | 0.018 (1.33) | 0.014 (1.02) | 0.021 (1.58) | −0.014 (−1.08) | −0.033 (−2.66) | −0.042 (−3.34) | | CIR | 0.043 (2.09) | 0.019 (0.93) | 0.024 (1.13) | −0.005 (−0.22) | 0.003 (0.15) | −0.040 (−1.99) | 0.004 (0.21) | | Adjusted R2 (%) | 4.73 | 2.33 | 2.23 | 2.69 | 5.74 | 10.13 | 9.18 |
|
|
