• Login
    View Item 
    •   Home
    • Massey Documents by Type
    • Theses and Dissertations
    • View Item
    •   Home
    • Massey Documents by Type
    • Theses and Dissertations
    • View Item
    JavaScript is disabled for your browser. Some features of this site may not work without it.

    An empirical analysis of the effects of the September 11 terrorist attacks upon the US options market : a research report in partial fulfillment of the requirements for the degree of Master of Business Studies at Massey University

    Icon
    View/Open Full Text
    01_front.pdf (1.113Mb)
    02_thesis.pdf.pdf (18.86Mb)
    Export to EndNote
    Abstract
    This research examines the effects that the September 11 terrorist attacks had upon the United States options markets, namely the OEX and SPX contracts. The effects on trading volume is analysed and it is found that overall volume of options did not increase in the post September 11 period when compared to the pre September 11 period. However, there was a significant increase in volume of options traded that were closest-to-the-money. This effect is not due to a day of the week trading effect, as daily effects were found not to be affected by the September 11 terrorist attacks. Investors were also found to become more risk adverse in the post September 11 period. Implied volatility index measures were used as a proxy measure for implied volatility. It was found that a significant increase in implied volatility in the post September 11 period took place. Results show that the use of implied volatility index measures provided a more robust estimate of future realised volatility than implied volatility of a single option close-to-the-money. The use of implied volatility indexes as an ex-ante forecast for future realised volatility was not affected by the September 11 attacks. In addition, a comparison is made between two methodologies of forming an implied volatility index, VXO and VIX and it is investigated which one provides the best ex-ante forecast for future realised volatility. It was found that neither the VXO nor the VIX methodologies provided more superior results as an ex-ante forecaster of future realised volatility.
    Date
    2003
    Author
    Bond, Nathan Murray
    Rights
    The Author
    Publisher
    Massey University
    URI
    http://hdl.handle.net/10179/10303
    Collections
    • Theses and Dissertations
    Metadata
    Show full item record

    Copyright © Massey University
    | Contact Us | Feedback | Copyright Take Down Request | Massey University Privacy Statement
    DSpace software copyright © Duraspace
    v5.7-2020.1-beta1
     

     

    Tweets by @Massey_Research
    Information PagesContent PolicyDepositing content to MROCopyright and Access InformationDeposit LicenseDeposit License SummaryTheses FAQFile FormatsDoctoral Thesis Deposit

    Browse

    All of MROCommunities & CollectionsBy Issue DateAuthorsTitlesSubjectsThis CollectionBy Issue DateAuthorsTitlesSubjects

    My Account

    LoginRegister

    Statistics

    View Usage Statistics

    Copyright © Massey University
    | Contact Us | Feedback | Copyright Take Down Request | Massey University Privacy Statement
    DSpace software copyright © Duraspace
    v5.7-2020.1-beta1