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| Tekijä: | Hwang, S. Satchell, S.E. |
| Otsikko: | Market risk and the concept of fundamental volatility: Measuring volatility across asset and derivative markets and testing for the impact of derivatives markets on financial markets |
| Lehti: | Journal of Banking and Finance
2000 : MAY, VOL. 24:5, p. 759-785 |
| Asiasana: | Volatility Assets Finance Stock markets Models |
| Kieli: | eng |
| Tiivistelmä: | This paper proposes an unobserved fundamental component of volatility as measure of risk. This concept of fundamental volatility may be more meaningful than the usual measures of volatility for market regulators. Fundamental volatility can be obtained using a stochastic volatility model. Introducing European options reduces fundamental volatility, while transitory noise in the underlying and futures markets does not show significant changes. It is concluded that, for the FTSE 100 index, introducing new options market has stabilized both the underlying market and existing derivative markets. |
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