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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Objekttyp
- Arbeitspapier
Beteiligte
- Boswijk, Herman Peter
- Laeven, Roger J. A.
- Lalu, Andrei
- Vladimirov, Evgenii
- Tinbergen Institute
Entstanden
- 2021