Research Article
Can the Implied Information of Options Predict the Liquidity of Stock Market? A Data-Driven Research Based on SSE 50ETF Options
Table 9
Robustness test: forecasting power of volume weighted IVS on stock market liquidity.
| | | 1 d | 5 d | 10 d | 30 d | 60 d | 90 d | 120 d | 150 d |
| | IVS | 0.014 (1.34) | 0.021 (1.99) | 0.033 (3.08) | 0.040 (3.78) | 0.035 (3.39) | 0.008 (0.85) | 0.020 (2.06) | 0.045 (4.57) |
| | | 180 d | 210 d | 240 d | 270 d | 300 d | 330 d | 360 d | |
| | IVS | 0.044 (4.08) | 0.037 (3.18) | 0.035 (2.96) | 0.032 (2.69) | −0.006 (−0.45) | −0.002 (−0.19) | 0.009 (0.71) | |
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