Cultural advice

The Australian National University acknowledges, celebrates and pays our respects to the Ngunnawal and Ngambri people of the Canberra region and to all First Nations Australians on whose traditional lands we meet and work, and whose cultures are among the oldest continuing cultures in human history.

Aboriginal and Torres Strait Islander peoples are advised that ANU Library collections may include images, names, voices, and other representations of deceased persons.

Material in the collection may contain terms, language or views that reflect the period in which the item was created and may be considered inappropriate today.

The role of implied volatility in liquidity provision

Simple item page
dc.contributor.authorCahill, Daniel
dc.contributor.authorFong, Kingsley
dc.contributor.authorWee, Marvin
dc.contributor.authorYang, Joey W
dc.date.accessioned2023-03-21T00:00:20Z
dc.date.issued2020
dc.date.updated2022-01-09T07:19:18Z
dc.description.abstractThis article examines the informational volatility – the permanent component of volatility that is driven by information – and its effect on stock liquidity provision. Using option-implied volatility as a proxy for informational volatility, our results show it has a significant negative influence on liquidity provision prior to earnings announcement even after controlling for trade-related market conditions. We find the effect of informational volatility only exists on the bid-side but not the ask-side of the order book. Further analysis suggests that the information contained in implied volatility concerns the future uncertainty of the underlying stock.en_AU
dc.format.mimetypeapplication/pdfen_AU
dc.identifier.issn0312-8962en_AU
dc.identifier.urihttp://hdl.handle.net/1885/287217
dc.language.isoen_AUen_AU
dc.publisherUniversity of New South Walesen_AU
dc.rights© 2019 The authorsen_AU
dc.sourceAustralian Journal of Managementen_AU
dc.subjectEarnings announcementen_AU
dc.subjectimplied volatilityen_AU
dc.subjectliquidity provisionen_AU
dc.subjectmarket depthen_AU
dc.titleThe role of implied volatility in liquidity provisionen_AU
dc.typeJournal articleen_AU
local.bibliographicCitation.issue1en_AU
local.bibliographicCitation.lastpage71en_AU
local.bibliographicCitation.startpage45en_AU
local.contributor.affiliationCahill, Daniel, UWA Business Schoolen_AU
local.contributor.affiliationFong, Kingsley, University of New South Walesen_AU
local.contributor.affiliationWee, Marvin, College of Business and Economics, ANUen_AU
local.contributor.affiliationYang, Joey W, UWA Business Schoolen_AU
local.contributor.authoruidWee, Marvin, u5150747en_AU
local.description.embargo2099-12-31
local.description.notesImported from ARIESen_AU
local.identifier.absfor350200 - Banking, finance and investmenten_AU
local.identifier.ariespublicationu6269649xPUB608en_AU
local.identifier.citationvolume45en_AU
local.identifier.doi10.1177/0312896219833423en_AU
local.identifier.scopusID2-s2.0-85064709292
local.publisher.urlhttps://journals.sagepub.com/en_AU
local.type.statusPublished Versionen_AU

Downloads

Original bundle

Now showing 1 - 1 of 1
Thumbnail Image
Name:
0312896219833423.pdf
Size:
559.3 KB
Format:
Adobe Portable Document Format
Description:
Download

Collections

ANU Research Publications

DSpace software copyright © 2002-2026 LYRASIS