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dc.contributor.authorGuozhou, L.en
dc.contributor.authorGan, C.en
dc.contributor.authorTreepongkaruna, S.en
dc.date.accessioned2016-11-14T21:27:43Z
dc.date.issued2009en
dc.identifier.citationGuozhou, L., Gan, C., & Treepongkaruna, S. (2009). Impact of hedging pressure on implied volatility in Financial Times and London Stock Exchange (FTSE) market. International Journal of Business and Finance Research, 3(1), 103-118.en
dc.identifier.issn1931-0269en
dc.identifier.urihttps://hdl.handle.net/10182/7584
dc.description.abstractThis paper examines the impact of net buying pressure and the event of 9/11 on the implied volatility of the U.K. FTSE 100 (Financial Times and the London Stock Exchange) index options. Our findings indicate that when effects such as financial leverage, information flow and mean reversion are held constant, the net buying pressure of the out-of-the-money put options plays a dominant role in determining the shape of the implied volatility function. Further, the event of 9/11 has a transitory influence on the implied volatility change. Our results also support the notion that hedging pressure can help explain the difference between implied volatility and realized volatility.en
dc.format.extent103-118en
dc.language.isoenen
dc.publisherInstitute for Business and Finance Research, LLCen
dc.relationThe original publication is available from - Institute for Business and Finance Research, LLC - http://www.theibfr.com/ARCHIVE/IJBFR-V3-N1-2009.pdfen
dc.rightsAll Rights Reserved The Institute for Business and Finance Research, LLCen
dc.subjectvolatilityen
dc.subjectFTSEen
dc.subjectstock marketsen
dc.titleImpact of hedging pressure on implied volatility in Financial Times and London Stock Exchange (FTSE) marketen
dc.typeJournal Article
lu.contributor.unitLincoln Universityen
lu.contributor.unitFaculty of Agribusiness and Commerceen
lu.contributor.unitDepartment of Financial and Business Systemsen
dc.subject.anzsrc1402 Applied Economicsen
dc.subject.anzsrc140210 International Economics and International Financeen
dc.subject.anzsrc150203 Financial Institutions (incl. Banking)en
dc.subject.anzsrc1501 Accounting, Auditing and Accountabilityen
dc.subject.anzsrc1502 Banking, Finance and Investmenten
dc.relation.isPartOfInternational Journal of Business and Finance Researchen
pubs.issue1en
pubs.organisational-group/LU
pubs.organisational-group/LU/Faculty of Agribusiness and Commerce
pubs.organisational-group/LU/Faculty of Agribusiness and Commerce/FABS
pubs.organisational-group/LU/Research Management Office
pubs.organisational-group/LU/Research Management Office/PE20
pubs.organisational-group/LU/Research Management Office/QE18
pubs.publication-statusPublisheden
pubs.publisher-urlhttp://www.theibfr.com/ARCHIVE/IJBFR-V3-N1-2009.pdfen
pubs.volume3en
lu.identifier.orcid0000-0002-5618-1651


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