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正版新书]期权成交量对KOSPI200股指收益和波动的预测力:基于韩
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1 Introduction
1.1 Research Background
1.2 Research Objective
1.3 Organization of the Dissertation
2 Literature Review
2.1 The Relation Between the Return of Stock Price and Options Trading
2.2 The Relation Between the Volatility of Stock Price and Options Trading
2.3 The Information Content of Options Volume and Put—Call Ratio
2.4 The Informational Role of Various Investors
2.5 The Information Content of Options Moneyness
2.6 The Response of Options Volume to News Announcements
3 Hypothesis and Methodology
3.1 The Relation Between Options Volume and the Vo1atilitv of KOSPl200 Index
3.2 The Informational Role of Various Investors
3.3 The Information Content of Options Moneyness
3.4 The Response of Options Volume to News Announcements
4 Dataset
4.1 KOSPl200 Index Options
4.2 Macroeconomic Variables
5 Empirical Analysis
5.1 The Relation Between Options Volumes and the V01atilitv of KOSPl200 Index
5.2 The Informational Role of Various Investors
5.3 The Information Content of Options Moneyness
5.4 Robustness Test
5.5 The Response of Unexpected Options Volumes to News
Announcements
6 Conclusion
References
康明惠,博士,四川农业大学经济学院讲师,主持了国家自然科学基金项目等3项课题,作为主研参与了5项国家自然科学基金项目;并发表多篇SSCI、SCI收录的学术论文,主要的研究方向是金融工程、互联网金融等领域。
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