Investment disputes and their explicit role in option market uncertainty and overall risk instability
The result's identifiers
Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F67985998%3A_____%2F23%3A00570759" target="_blank" >RIV/67985998:_____/23:00570759 - isvavai.cz</a>
Alternative codes found
RIV/00216208:11320/23:10472050
Result on the web
<a href="https://doi.org/10.1007/s10287-023-00447-1" target="_blank" >https://doi.org/10.1007/s10287-023-00447-1</a>
DOI - Digital Object Identifier
<a href="http://dx.doi.org/10.1007/s10287-023-00447-1" target="_blank" >10.1007/s10287-023-00447-1</a>
Alternative languages
Result language
angličtina
Original language name
Investment disputes and their explicit role in option market uncertainty and overall risk instability
Original language description
We propose a methodological approach for capturing and analyzing the impacts of investment disputes on option markets. A dispute submission typically brings in unspecified uncertainty and additional risk. The implied volatility of options is shown to reflect such effects. However, nontrivial caution and nonstandard statistical techniques are needed to analyze them appropriately. Artificial options with a constant (over time) maturity are introduced to emphasize these effects. A panel data representation of artificial implied volatility smiles is used to ensure the overall model flexibility, transparency, and its practical interpretability. Finally, a stochastically valid changepoint detection procedure is adopted to reveal significant impacts of an investment dispute on the overall riskiness and the stock price evolution. The results show significant impacts of the first tribunal meeting and the first procedural order of the disputes under consideration.
Czech name
—
Czech description
—
Classification
Type
J<sub>imp</sub> - Article in a specialist periodical, which is included in the Web of Science database
CEP classification
—
OECD FORD branch
50202 - Applied Economics, Econometrics
Result continuities
Project
Result was created during the realization of more than one project. More information in the Projects tab.
Continuities
I - Institucionalni podpora na dlouhodoby koncepcni rozvoj vyzkumne organizace
Others
Publication year
2023
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů
Data specific for result type
Name of the periodical
Computational Management Science
ISSN
1619-697X
e-ISSN
1619-6988
Volume of the periodical
20
Issue of the periodical within the volume
1
Country of publishing house
DE - GERMANY
Number of pages
25
Pages from-to
15
UT code for WoS article
000952188100001
EID of the result in the Scopus database
2-s2.0-85150388684