Predictive power of implied volatility of structured call warrants: evidence from Singapore

• Main Authors: Murad Samsudin, Najmi Ismail, Mohamad, Azhar, Mohammad Sifat, Imtiaz, Hamid, Zarinah
• Format: Article
• Language: English; English; English
• Published: John Wiley & Sons, Ltd. 2020
• Subjects: HG Finance; HG4501 Stocks, investment, speculation
• Online Access: http://irep.iium.edu.my/87371/7/87371_Predictive%20power%20of%20implied%20volatility%20of%20structured_WoS.pdf; http://irep.iium.edu.my/87371/8/87371_Predictive%20power%20of%20implied%20volatility%20of%20structured.pdf; http://irep.iium.edu.my/87371/9/87371_Predictive%20power%20of%20implied%20volatility%20of%20structured_SCOPUS.pdf; http://irep.iium.edu.my/87371/; https://doi.org/10.1002/ijfe.2379; https://doi.org/10.1002/ijfe.2379

This paper examines the information content of implied volatility of structuredcall warrants in the Singapore Stock Exchange. The study is among the first to examine the implied volatility of equity options (structured call warrants) outside the United States. Using a daily dataset for 252 trading d...