Publikation:

What Do Index Options Teach Us About COVID-19?

Vorschaubild

Dateien

Zu diesem Dokument gibt es keine Dateien.

Datum

2020

Autor:innen

Herausgeber:innen

Kontakt

ISSN der Zeitschrift

Electronic ISSN

ISBN

Bibliografische Daten

Verlag

Schriftenreihe

Auflagebezeichnung

URI (zitierfähiger Link)
DOI (zitierfähiger Link)
https://doi.org/10.1093/rapstu/raaa012
ArXiv-ID

Internationale Patentnummer

Angaben zur Forschungsförderung

Projekt

Open Access-Veröffentlichung

Sammlungen

Wirtschaftswissenschaften: Publikationen
Core Facility der Universität Konstanz

Gesperrt bis

Titel in einer weiteren Sprache

Publikationstyp
Zeitschriftenartikel
Publikationsstatus
Published

Erschienen in

The Review of Asset Pricing Studies. Oxford University Press. 2020, 10(4), pp. 618-634. ISSN 2045-9920. eISSN 2045-9939. Available under: doi: 10.1093/rapstu/raaa012

Zusammenfassung

Risk-neutral distributions of the S&P 500 are informative about the COVID-19 pandemic beyond what one can learn from index values and the market fear gauge of the VIX alone. We learn that, on February 20, 2020, the index did not yet reflect the impending crisis. Only on March 16, 2020, was the full impact visible, with a pronounced bimodality for longer-maturity options revealing a sizeable crash scenario. The corresponding physical distribution is more symmetric and features a high-volatility crash scenario. Firms bought crash protection ahead of the index crash, whereas retail customers bought it as the index was already recovering.

Zusammenfassung in einer weiteren Sprache

Fachgebiet (DDC)
330 Wirtschaft

Schlagwörter

Konferenz

Rezension
undefined / . - undefined, undefined

Forschungsvorhaben

Organisationseinheiten

Zeitschriftenheft

Zugehörige Datensätze in KOPS

Zitieren

ISO 690JACKWERTH, Jens, 2020. What Do Index Options Teach Us About COVID-19?. In: The Review of Asset Pricing Studies. Oxford University Press. 2020, 10(4), pp. 618-634. ISSN 2045-9920. eISSN 2045-9939. Available under: doi: 10.1093/rapstu/raaa012
BibTex
@article{Jackwerth2020Index-53551,
  year={2020},
  doi={10.1093/rapstu/raaa012},
  title={What Do Index Options Teach Us About COVID-19?},
  number={4},
  volume={10},
  issn={2045-9920},
  journal={The Review of Asset Pricing Studies},
  pages={618--634},
  author={Jackwerth, Jens}
}
RDF
<rdf:RDF
    xmlns:dcterms="http://purl.org/dc/terms/"
    xmlns:dc="http://purl.org/dc/elements/1.1/"
    xmlns:rdf="http://www.w3.org/1999/02/22-rdf-syntax-ns#"
    xmlns:bibo="http://purl.org/ontology/bibo/"
    xmlns:dspace="http://digital-repositories.org/ontologies/dspace/0.1.0#"
    xmlns:foaf="http://xmlns.com/foaf/0.1/"
    xmlns:void="http://rdfs.org/ns/void#"
    xmlns:xsd="http://www.w3.org/2001/XMLSchema#" > 
  <rdf:Description rdf:about="https://kops.uni-konstanz.de/server/rdf/resource/123456789/53551">
    <bibo:uri rdf:resource="https://kops.uni-konstanz.de/handle/123456789/53551"/>
    <dc:creator>Jackwerth, Jens</dc:creator>
    <dcterms:issued>2020</dcterms:issued>
    <dcterms:abstract xml:lang="eng">Risk-neutral distributions of the S&amp;P 500 are informative about the COVID-19 pandemic beyond what one can learn from index values and the market fear gauge of the VIX alone. We learn that, on February 20, 2020, the index did not yet reflect the impending crisis. Only on March 16, 2020, was the full impact visible, with a pronounced bimodality for longer-maturity options revealing a sizeable crash scenario. The corresponding physical distribution is more symmetric and features a high-volatility crash scenario. Firms bought crash protection ahead of the index crash, whereas retail customers bought it as the index was already recovering.</dcterms:abstract>
    <dc:date rdf:datatype="http://www.w3.org/2001/XMLSchema#dateTime">2021-04-30T07:41:57Z</dc:date>
    <dc:contributor>Jackwerth, Jens</dc:contributor>
    <dc:rights>terms-of-use</dc:rights>
    <dc:language>eng</dc:language>
    <dspace:isPartOfCollection rdf:resource="https://kops.uni-konstanz.de/server/rdf/resource/123456789/46"/>
    <dcterms:title>What Do Index Options Teach Us About COVID-19?</dcterms:title>
    <void:sparqlEndpoint rdf:resource="http://localhost/fuseki/dspace/sparql"/>
    <dcterms:isPartOf rdf:resource="https://kops.uni-konstanz.de/server/rdf/resource/123456789/46"/>
    <dcterms:rights rdf:resource="https://rightsstatements.org/page/InC/1.0/"/>
    <dcterms:available rdf:datatype="http://www.w3.org/2001/XMLSchema#dateTime">2021-04-30T07:41:57Z</dcterms:available>
    <foaf:homepage rdf:resource="http://localhost:8080/"/>
  </rdf:Description>
</rdf:RDF>

Interner Vermerk

xmlui.Submission.submit.DescribeStep.inputForms.label.kops_note_fromSubmitter

Kontakt
URL der Originalveröffentl.

Prüfdatum der URL

Prüfungsdatum der Dissertation

Finanzierungsart

Kommentar zur Publikation

Allianzlizenz
Corresponding Authors der Uni Konstanz vorhanden
Internationale Co-Autor:innen
Universitätsbibliographie
Ja
Begutachtet
Unbekannt
Diese Publikation teilen