Arbeitspapier

Jump contagion among stock market indices: Evidence from option markets

This paper explores the contagious propagation of jumps among international stock market indices by exploiting a rich panel of stock and options data. We propose a multivariate option pricing model designed to allow for, but not superimpose, time and space amplification of jumps in option markets. We develop a semi-parametric estimation procedure employing a continuum of moments conditions in GMM with implied states. We introduce a partial-information approach to reduce the computational complexity arising in the multivariate setting, derive the asymptotic properties of our estimators, and analyze their finite-sample performance. Our empirical results reveal evidence of jump contagion in option markets, both from the US to Europe and vice versa, with the US leading the UK and standing on equal footing with Germany. We illustrate the importance of capturing jump contagion for risk management, option pricing, and scenario analysis.

Sprache
Englisch

Erschienen in
Series: Tinbergen Institute Discussion Paper ; No. TI 2021-086/III

Klassifikation
Wirtschaft
Financial Econometrics
Financial Crises
International Financial Markets
Semiparametric and Nonparametric Methods: General
Multiple or Simultaneous Equation Models: Panel Data Models; Spatio-temporal Models
Contingent Pricing; Futures Pricing; option pricing
Thema
Jumps
Option markets
Crisis
Transmission
Spatio-temporal models
C-GMM

Ereignis
Geistige Schöpfung
(wer)
Boswijk, Herman Peter
Laeven, Roger J. A.
Lalu, Andrei
Vladimirov, Evgenii
Ereignis
Veröffentlichung
(wer)
Tinbergen Institute
(wo)
Amsterdam and Rotterdam
(wann)
2021

Handle
Letzte Aktualisierung
10.03.2025, 11:42 MEZ

Datenpartner

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ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.

Objekttyp

  • Arbeitspapier

Beteiligte

  • Boswijk, Herman Peter
  • Laeven, Roger J. A.
  • Lalu, Andrei
  • Vladimirov, Evgenii
  • Tinbergen Institute

Entstanden

  • 2021

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