Implied volatility indices – A review

© 2020 Board of Trustees of the University of Illinois This study tests and documents the information content of all publicly available implied volatility indices regarding both the realized volatility and the returns of the underlying asset. These topics present a path traveled by earlier work, but there are gains in studying together all 47 volatility-based indices that are now available, in order to examine if different asset classes and financial instruments could possess different return-volatility relations and forecasting ability. Our findings suggest that implied volatility includes information about future volatility beyond that contained in past volatility; this finding is consistent across all assets under review. Furthermore, we find a significant contemporaneous relationship between implied volatility changes and underlying returns, but at the same time, we show that implied volatilities in commodities, bonds, currencies and volatility react differently to underlying price changes compared to equities. Hence, our findings have important implications for asset allocation, risk management and asset pricing

Exposure-based volatility: an application in corporate risk management

This study develops a non-traditional measure of risk, an exposure-based volatility, for the non-financial company and applies this measure to capture both the downside potential of cash-flows and the probability of requiring additional external financing under most foreseeable conditions. The empirical analysis is applied on a particular Bulgarian transport company and concludes that the proposed measure of exposure-based volatility manages to capture effectively the peaks and troughs in the variance of cash-flows, thus, significantly outperforming the historical standard deviation. This non-traditional downside risk estimate is by itself extremely useful as it contains significant information about a given company. Furthermore, it can be used as a valuable input in several risk management tools; in the current paper, a robust measure of CFaR and an original interpretation of Merton’s credit risk model are presente

Autologous Hematopoietic Stem Cell Transplantation vs Intravenous Pulse Cyclophosphamide in Diffuse Cutaneous Systemic Sclerosis: A Randomized Clinical Trial

Importance: High-dose immunosuppressive therapy and autologous hematopoietic stem cell transplantation (HSCT) have shown efficacy in systemic sclerosis in phase 1 and small phase 2 trials. Objective: To compare efficacy and safety of HSCT vs 12 successive monthly intravenous pulses of cyclophosphamide. Design, Setting, and Participants: The Autologous Stem Cell Transplantation International Scleroderma (ASTIS) trial, a phase 3, multicenter, randomized (1:1), open-label, parallel-group, clinical trial conducted in 10 countries at 29 centers with access to a European Group for Blood and Marrow Transplantation–registered transplant facility. From March 2001 to October 2009, 156 patients with early diffuse cutaneous systemic sclerosis were recruited and followed up until October 31, 2013. Interventions: HSCT vs intravenous pulse cyclophosphamide. Main Outcomes and Measures: The primary end point was event-free survival, defined as time from randomization until the occurrence of death or persistent major organ failure. Results: A total of 156 patients were randomly assigned to receive HSCT (n = 79) or cyclophosphamide (n = 77). During a median follow-up of 5.8 years, 53 events occurred: 22 in the HSCT group (19 deaths and 3 irreversible organ failures) and 31 in the control group (23 deaths and 8 irreversible organ failures). During the first year, there were more events in the HSCT group (13 events [16.5%], including 8 treatment-related deaths) than in the control group (8 events [10.4%], with no treatment-related deaths). At 2 years, 14 events (17.7%) had occurred cumulatively in the HSCT group vs 14 events (18.2%) in the control group; at 4 years, 15 events (19%) had occurred cumulatively in the HSCT group vs 20 events (26%) in the control group. Time-varying hazard ratios (modeled with treatment × time interaction) for event-free survival were 0.35 (95% CI, 0.16-0.74) at 2 years and 0.34 (95% CI, 0.16-0.74) at 4 years. Conclusions and Relevance: Among patients with early diffuse cutaneous systemic sclerosis, HSCT was associated with increased treatment-related mortality in the first year after treatment. However, HCST conferred a significant long-term event-free survival benefit. Trial Registration: isrctn.org Identifier: ISRCTN5437125

Intraday price discovery and volatility spillovers in an emerging market

© 2018 Elsevier Inc. This paper extends the study of price discovery and volatility transmission between the cash and futures index prices in Athens Exchange by using a new high-frequency dataset. It also employs, for the first time in the Greek market, well-known techniques to examine the long-run relationships and the short-run dynamics between spot and futures prices. In sum, the error correction model estimations and the estimated information shares provide evidence in support of the leading role of the futures market in the price discovery process. Furthermore, our results suggest strong bi-directional dependence in the intraday volatility of both markets, refuting prior empirical findings. Finally, we show that the pricing efficiency of the futures contracts in Athens Exchange has improved over the last years, as we document fewer divergences from the no-arbitrage window

Cannabis Stocks Returns: The Role of Liquidity and Investors’ Attention via Google Metrics

This paper studies one of the most popular investment themes over recent years, investing in the cannabis industry. In particular, it investigates relationships between investor attention, as proxied by Google Trends, and stock market activities, i.e., return, volatility, and liquidity. To this end, in the empirical analysis we study how liquidity and investors’ attention affect the return dynamics of an investment in cannabis stocks by augmenting the three-factor Fama–French model. In addition, we use a vector autoregressive approach and the impulse response function to measure shock transmission between the variables under consideration. Our empirical findings show that there is a statistically positive relationship between cannabis stock returns and liquidity. We also find that increased investors’ attention results in higher returns