Sanjay Ramchander - Academia.edu (original) (raw)
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Conference Presentations by Sanjay Ramchander
The introduction of European style equity options in 2015 in China signaled a landmark moment in ... more The introduction of European style equity options in 2015 in China signaled a landmark moment in the development of its financial markets. We examine intra-day implied volatility patterns, and estimate the contribution of the Shanghai Stock Exchange (SSE) 50 ETF options to price discovery using the information leadership share (ILS) methodology. Notable differences are found in implied volatilities of puts and calls, consistent with the theory of event trading, while implied volatility patterns for each moneyness group contradict the crash-a phobia phenomenon documented in previous studies. Furthermore, we find the options market to dominate the price discovery process, with an average ILS of 67%. The price leadership evolves over time as investors use options to circumvent trading restrictions placed on the stock market.
The introduction of European style equity options in 2015 in China signaled a landmark moment in ... more The introduction of European style equity options in 2015 in China signaled a landmark moment in the development of its financial markets. We examine intra-day implied volatility patterns, and estimate the contribution of the Shanghai Stock Exchange (SSE) 50 ETF options to price discovery using the information leadership share (ILS) methodology. Notable differences are found in implied volatilities of puts and calls, consistent with the theory of event trading, while implied volatility patterns for each moneyness group contradict the crash-a phobia phenomenon documented in previous studies. Furthermore, we find the options market to dominate the price discovery process, with an average ILS of 67%. The price leadership evolves over time as investors use options to circumvent trading restrictions placed on the stock market.