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新冠疫情与市场预期：来自期权隐含密度的证据。

COVID-19 and market expectations: Evidence from option-implied densities.

作者信息

Hanke Michael, Kosolapova Maria, Weissensteiner Alex

机构信息

Institute for Finance, University of Liechtenstein, Fürst-Franz-Josef-Strasse, 9490 Vaduz, Liechtenstein.

Faculty of Economics and Management, Free University of Bozen-Bolzano, Universitätsplatz 1, I-39100 Bozen, Italy.

出版信息

Econ Lett. 2020 Oct;195:109441. doi: 10.1016/j.econlet.2020.109441. Epub 2020 Jul 25.

DOI:10.1016/j.econlet.2020.109441
PMID:32834239
原文链接:https://pmc.ncbi.nlm.nih.gov/articles/PMC7381403/
Abstract

We compare risk-neutral densities from equity index options across several countries during the early phase of the COVID-19 pandemic. The initial reaction in all analyzed markets was late, abrupt and simultaneous. Only a few weeks later, densities started to differ across markets.

摘要

我们比较了新冠疫情早期几个国家股票指数期权的风险中性密度。所有分析市场的初始反应都滞后、突然且同步。仅仅几周后，不同市场的密度开始出现差异。

https://cdn.ncbi.nlm.nih.gov/pmc/blobs/0518/7381403/04779b5e97d3/gr3_lrg.jpg
https://cdn.ncbi.nlm.nih.gov/pmc/blobs/0518/7381403/b23a6acab67c/gr1_lrg.jpg
https://cdn.ncbi.nlm.nih.gov/pmc/blobs/0518/7381403/3fe1add4ef37/gr2_lrg.jpg
https://cdn.ncbi.nlm.nih.gov/pmc/blobs/0518/7381403/04779b5e97d3/gr3_lrg.jpg
https://cdn.ncbi.nlm.nih.gov/pmc/blobs/0518/7381403/b23a6acab67c/gr1_lrg.jpg
https://cdn.ncbi.nlm.nih.gov/pmc/blobs/0518/7381403/3fe1add4ef37/gr2_lrg.jpg
https://cdn.ncbi.nlm.nih.gov/pmc/blobs/0518/7381403/04779b5e97d3/gr3_lrg.jpg

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Pre- and post-COVID-19: The impact of the pandemic and stock market psychology on the growth and sustainability of consumer goods industries.新冠疫情之前与之后：疫情及股市心理对消费品行业增长与可持续性的影响
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Physica A. 2021 Nov 15;582:126240. doi: 10.1016/j.physa.2021.126240. Epub 2021 Jul 7.
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The price of COVID-19-induced uncertainty in the options market.新冠疫情在期权市场引发的不确定性的代价。
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