Investment disputes and their explicit role in option market uncertainty and overall risk instability

Kód výsledku v 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>

Nalezeny alternativní kódy

RIV/00216208:11320/23:10472050

Výsledek na webu

<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>

Jazyk výsledku

angličtina

Název v původním jazyce

Investment disputes and their explicit role in option market uncertainty and overall risk instability

Popis výsledku v původním jazyce

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.

Název v anglickém jazyce

Investment disputes and their explicit role in option market uncertainty and overall risk instability

Popis výsledku anglicky

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.

Druh

J_imp - Článek v periodiku v databázi Web of Science

CEP obor

—

OECD FORD obor

50202 - Applied Economics, Econometrics

Projekt

Výsledek vznikl pri realizaci vícero projektů. Více informací v záložce Projekty.

Návaznosti

I - Institucionalni podpora na dlouhodoby koncepcni rozvoj vyzkumne organizace

Rok uplatnění

2023

Kód důvěrnosti údajů

S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Název periodika

Computational Management Science

ISSN

1619-697X

e-ISSN

1619-6988

Svazek periodika

20

Číslo periodika v rámci svazku

1

Stát vydavatele periodika

DE - Spolková republika Německo

Počet stran výsledku

25

Strana od-do

15

Kód UT WoS článku

000952188100001

EID výsledku v databázi Scopus

2-s2.0-85150388684