Volatility, price-discovery and trading volume in Australian equity index and option markets : a dissertation presented in partial fulfilment of the requirements for the degree of Doctor of Philosophy in Finance at Massey University, Auckland, New Zealand

Simple item page
dc.contributor.authorBuhr, Klaus
dc.date.accessioned2010-03-25T01:10:28Z
dc.date.availableNO_RESTRICTIONen_US
dc.date.available2010-03-25T01:10:28Z
dc.date.issued2009
dc.description.abstractThis dissertation investigates the information considerations of volatility, pricediscovery and the relationship change in volume and volatility resulting from index derivatives transactions on financial markets in Australia. The impact of information on volatility was investigated in the essay one, as volatility is a key factor for accurately pricing derivative securities. I assessed the forecast accuracy, unbiasedness and information content of volatility forecasts, based on implied volatility and conditional volatility models for the S&P/ASX 200 Index Options market in Australia. The conditional volatility models produce the most accurate forecasts and are robust when forecasting into short time horizons. Essay two, investigates the information content of the index and option markets in the price-discovery process. Based on the above volatility results, the long-run equilibrium relationship between the share price index and the implied price of the share-price-index option was investigated. Causality was determined to show which market leads the other. Information share measures were used to gauge the contribution of the share price index and index option markets to the price-discovery process. Unambiguous evidence shows the index market leads the options market and the former contributes more to price-discovery than the latter. In essay three, I investigate the dynamic relationship between the future price volatility of the S&P/ASX 200 Index and the trading volume of the S&P/ASX 200 Index Options to explore the informational role of option volume in predicting price volatility. I found the contemporaneous call options volume have a significant strong positive feedback effect on the implied volatility, but the contemporaneous feedback effect of volume on the TARCH volatility is insignificant. The contemporaneous feedback effects from the implied volatility and the TARCH volatility to the call options volume are positive, significant and strong.en_US
dc.identifier.urihttp://hdl.handle.net/10179/1202
dc.identifier.wikidataQ112880207
dc.identifier.wikidata-urihttps://www.wikidata.org/wiki/Q112880207
dc.language.isoenen_US
dc.publisherMassey Universityen_US
dc.rightsThe Authoren_US
dc.subjectAustralian financial marketsen_US
dc.subjectVolatility forecastsen_US
dc.subjectAustralia
dc.subject.otherFields of Research::350000 Commerce, Management, Tourism and Services::350300 Banking, Finance and Investmenten_US
dc.titleVolatility, price-discovery and trading volume in Australian equity index and option markets : a dissertation presented in partial fulfilment of the requirements for the degree of Doctor of Philosophy in Finance at Massey University, Auckland, New Zealanden_US
dc.typeThesisen_US
massey.contributor.authorBuhr, Klaus
thesis.degree.disciplineFinanceen_US
thesis.degree.grantorMassey Universityen_US
thesis.degree.levelDoctoralen_US
thesis.degree.levelDoctoralen
thesis.degree.nameDoctor of Philosophy (Ph.D.)en_US
Files
Original bundle
Now showing 1 - 2 of 2
Thumbnail Image
Name:
02whole.pdf
Size:
1.1 MB
Format:
Adobe Portable Document Format
Description:
Download
Thumbnail Image
Name:
01front.pdf
Size:
39.3 KB
Format:
Adobe Portable Document Format
Description:
Download
License bundle
Now showing 1 - 1 of 1
Thumbnail Image
Name:
license.txt
Size:
895 B
Format:
Item-specific license agreed upon to submission
Description:
Download
Collections
Theses and Dissertations