Misha wolynski (4 risultati)

Taschenbuch. Condizione: Neu. This item is printed on demand - it takes 3-4 days longer - Neuware -In this paper, we aim to determine whether the options market predicted the stock market crash of September 15 2008 or reacted to it. In order to do so, we study volatility smiles and RND functions for the EURO STOXX 50 equity index. For our estimated RND functions, retrieved by using the two lognormal method, we calculate standard deviation, skewness and kurtosis. We find that the options market did not predict the stock market crash. Instead, it reacted to it. Specifically, the reaction consisted of an increase in standard deviation, a decrease in left-skewness and kurtosis and a tendency toward a bimodal shape. Apart from the result regarding the skewness, these findings are consistent with research on earlier stock market crashes. However, earlier studies find that left-skewness increases as a reaction to a stock market crash. Thus, the decreased left-skewness appears to be a finding specific for this particular crash. Lastly, we note that the fact that RNDs seem to lack predictive power does not render them useless, as they can be used to assess market sentiment and how it changes over time, which could be useful for decision-making organs, such as central banks. 72 pp. Englisch.…

Taschenbuch. Condizione: Neu. nach der Bestellung gedruckt Neuware - Printed after ordering - In this paper, we aim to determine whether the options market predicted the stock market crash of September 15 2008 or reacted to it. In order to do so, we study volatility smiles and RND functions for the EURO STOXX 50 equity index. For our estimated RND functions, retrieved by using the two lognormal method, we calculate standard deviation, skewness and kurtosis. We find that the options market did not predict the stock market crash. Instead, it reacted to it. Specifically, the reaction consisted of an increase in standard deviation, a decrease in left-skewness and kurtosis and a tendency toward a bimodal shape. Apart from the result regarding the skewness, these findings are consistent with research on earlier stock market crashes. However, earlier studies find that left-skewness increases as a reaction to a stock market crash. Thus, the decreased left-skewness appears to be a finding specific for this particular crash. Lastly, we note that the fact that RNDs seem to lack predictive power does not render them useless, as they can be used to assess market sentiment and how it changes over time, which could be useful for decision-making organs, such as central banks.…

Condizione: New. Dieser Artikel ist ein Print on Demand Artikel und wird nach Ihrer Bestellung fuer Sie gedruckt. Autor/Autorin: Wolynski MishaMisha Wolynski was born in Kiev, former USSR, on March 3, 1985. He has been living in Stockholm, Sweden, since moving there in 1989. He holds an M.Sc. in Economics and Business (major in Finance) from the Stockholm Scho.…

Taschenbuch. Condizione: Neu. This item is printed on demand - Print on Demand Titel. Neuware -In this paper, we aim to determine whether the options market predicted the stock market crash of September 15 2008 or reacted to it. In order to do so, we study volatility smiles and RND functions for the EURO STOXX 50 equity index. For our estimated RND functions, retrieved by using the two lognormal method, we calculate standard deviation, skewness and kurtosis. We find that the options market did not predict the stock market crash. Instead, it reacted to it. Specifically, the reaction consisted of an increase in standard deviation, a decrease in left-skewness and kurtosis and a tendency toward a bimodal shape. Apart from the result regarding the skewness, these findings are consistent with research on earlier stock market crashes. However, earlier studies find that left-skewness increases as a reaction to a stock market crash. Thus, the decreased left-skewness appears to be a finding specific for this particular crash. Lastly, we note that the fact that RNDs seem to lack predictive power does not render them useless, as they can be used to assess market sentiment and how it changes over time, which could be useful for decision-making organs, such as central banks.VDM Verlag, Dudweiler Landstraße 99, 66123 Saarbrücken 72 pp. Englisch.…