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Please use this identifier to cite or link to this item: http://ntour.ntou.edu.tw:8080/ir/handle/987654321/42448

Title: Long Memory and the Relation Between Options and Stock Prices
Authors: Teng-Ching Huan;Yu-Chen Tu;Heng-Chih Chou
Contributors: 國立臺灣海洋大學:航運管理學系
Keywords: Long memory;Fractional cointegration;Information effect;Volume effect;NBLS formula
Date: 2015-02
Issue Date: 2017-05-15
Publisher: Finance Research Letters
Abstract: This study investigates the long-memory property and the fractionally cointegration between absolute changes in observed stock prices and implied stock prices from option pricing model. We find a stylized fact that absolute price movements in stock and option markets are characterized by long memory and they present a fractionally cointegrated relation. The option prices appear to be valuable for the stock prices based on an appropriate econometric methodology, which captures the persistence of both price series. Our empirical results also support the presence of information effect in call option, but the volume effect is absent for all cases.
Relation: 12 pp.77-91
URI: http://ntour.ntou.edu.tw:8080/ir/handle/987654321/42448
Appears in Collections:[航運管理學系] 期刊論文

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