Implied volatility in the individual stocks call options market: evidence from Malaysia

Among options traders, implied volatility is regarded as one of the most important variables for determining profitability in options trading. Implied volatility implies the future underlying stock volatility, and whilst it cannot predict market direction, it can forecast the stock’s potential fo...

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Main Authors:	Mohamad, Azhar, Sakti, Muhammad Rizky Prima
Format:	Article
Language:	English English
Published:	Inderscience Enterprises Ltd. 2018
Subjects:	HG Finance HG3368 Islamic Banking and Finance
Online Access:	http://irep.iium.edu.my/70286/ http://irep.iium.edu.my/70286/ http://irep.iium.edu.my/70286/ http://irep.iium.edu.my/70286/1/70286_Implied%20volatility%20in%20the%20individual%20stocks_article%20complete.pdf http://irep.iium.edu.my/70286/2/70286_Implied%20volatility%20in%20the%20individual%20stocks_scopus.pdf

id	iium-70286
recordtype	eprints
spelling	iium-702862019-01-29T03:33:22Z http://irep.iium.edu.my/70286/ Implied volatility in the individual stocks call options market: evidence from Malaysia Mohamad, Azhar Sakti, Muhammad Rizky Prima HG Finance HG3368 Islamic Banking and Finance Among options traders, implied volatility is regarded as one of the most important variables for determining profitability in options trading. Implied volatility implies the future underlying stock volatility, and whilst it cannot predict market direction, it can forecast the stock’s potential for large fluctuations in the future. Once the implied volatility has been calculated, the traders can estimate how high or low the stock might swing by the option’s expiration, and this estimation helps traders to make informed trading decisions. In this paper, we examine the information content of the implied volatility of individual stocks call options in the Malaysian stock market. We use a daily dataset for 100 trading days for a period between November 2013 and February 2014. Our findings suggest that, for the Malaysian market, although implied volatility does contain some relevant information about future volatility, it is a less accurate predictor than historical volatility. Inderscience Enterprises Ltd. 2018 Article NonPeerReviewed application/pdf en http://irep.iium.edu.my/70286/1/70286_Implied%20volatility%20in%20the%20individual%20stocks_article%20complete.pdf application/pdf en http://irep.iium.edu.my/70286/2/70286_Implied%20volatility%20in%20the%20individual%20stocks_scopus.pdf Mohamad, Azhar and Sakti, Muhammad Rizky Prima (2018) Implied volatility in the individual stocks call options market: evidence from Malaysia. Afro-Asian Journal of Finance and Accounting, 8 (4). pp. 431-456. ISSN 1751-6447 E-ISSN 1751-6455 http://www.inderscience.com/offer.php?id=95246 10.1504/AAJFA.2018.095246
repository_type	Digital Repository
institution_category	Local University
institution	International Islamic University Malaysia
building	IIUM Repository
collection	Online Access
language	English English
topic	HG Finance HG3368 Islamic Banking and Finance
spellingShingle	HG Finance HG3368 Islamic Banking and Finance Mohamad, Azhar Sakti, Muhammad Rizky Prima Implied volatility in the individual stocks call options market: evidence from Malaysia
description	Among options traders, implied volatility is regarded as one of the most important variables for determining profitability in options trading. Implied volatility implies the future underlying stock volatility, and whilst it cannot predict market direction, it can forecast the stock’s potential for large fluctuations in the future. Once the implied volatility has been calculated, the traders can estimate how high or low the stock might swing by the option’s expiration, and this estimation helps traders to make informed trading decisions. In this paper, we examine the information content of the implied volatility of individual stocks call options in the Malaysian stock market. We use a daily dataset for 100 trading days for a period between November 2013 and February 2014. Our findings suggest that, for the Malaysian market, although implied volatility does contain some relevant information about future volatility, it is a less accurate predictor than historical volatility.
format	Article
author	Mohamad, Azhar Sakti, Muhammad Rizky Prima
author_facet	Mohamad, Azhar Sakti, Muhammad Rizky Prima
author_sort	Mohamad, Azhar
title	Implied volatility in the individual stocks call options market: evidence from Malaysia
title_short	Implied volatility in the individual stocks call options market: evidence from Malaysia
title_full	Implied volatility in the individual stocks call options market: evidence from Malaysia
title_fullStr	Implied volatility in the individual stocks call options market: evidence from Malaysia
title_full_unstemmed	Implied volatility in the individual stocks call options market: evidence from Malaysia
title_sort	implied volatility in the individual stocks call options market: evidence from malaysia
publisher	Inderscience Enterprises Ltd.
publishDate	2018
url	http://irep.iium.edu.my/70286/ http://irep.iium.edu.my/70286/ http://irep.iium.edu.my/70286/ http://irep.iium.edu.my/70286/1/70286_Implied%20volatility%20in%20the%20individual%20stocks_article%20complete.pdf http://irep.iium.edu.my/70286/2/70286_Implied%20volatility%20in%20the%20individual%20stocks_scopus.pdf
first_indexed	2023-09-18T21:39:47Z
last_indexed	2023-09-18T21:39:47Z
_version_	1777413062894026752

Implied volatility in the individual stocks call options market: evidence from Malaysia

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