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Implied Volatility of Call Options and Abnormal Stock Returns: Evidence From Quantile Analysis of Abnormal Return Determinants | ||
| Journal of Mathematics and Modeling in Finance | ||
| دوره 5، شماره 2، دی 2025، صفحه 253-281 اصل مقاله (1021.19 K) | ||
| نوع مقاله: Research Article | ||
| شناسه دیجیتال (DOI): 10.22054/jmmf.2025.87610.1205 | ||
| نویسندگان | ||
| Sayyede Elnaz Afzaliyan Boroujeni1؛ Abdolmajid Abdolbaghi Ataabadi* 2؛ Naser Khani1 | ||
| 1Department of Management, Na.C., Islamic Azad University, Najafabad, Iran. | ||
| 2Department of Management, Faculty of Industrial Engineering and Management, Shahrood University of Technology, Shahrood, Iran. | ||
| چکیده | ||
| The present study aims to assess the impact of implied volatility (IV) extracted from call option prices on abnormal stock returns. IV, as a critical market volatility index, plays an essential role in explaining investor behavior. The Black-Scholes model was used to extract IV, applying Brent’s method due to the absence of an explicit closed-form solution. In addition, daily call option trading data from the Tehran Stock Exchange (TSE) were utilized during 2016-24. Further, quantile multivariate regression, along with wild bootstrap resampling (1,000 repetitions), was employed for model estimation. Abnormal returns (ARs) were significantly associated with IV, illiquidity (ILLIQ), daily stock returns (RETs), and bid-ask spreads (SPREAD). However, ARs were negatively correlated with the logarithm of firm size (LogSIZE), historical option volatility (σOption), logarithm of book-to-market (LogBM), implied volatility delta (ΔIV), and idiosyncratic volatility (IDVOL). The historical stock volatility (σStock) and options-to-stocks volume ratio (O/S) demonstrated no significant association with ARs. The results highlighted the predictive power of IV and ΔIV for future price movements. The study recommends market participants and portfolio managers to incorporate the above-mentioned metric into investment decision-making processes. | ||
| کلیدواژهها | ||
| Implied volatility؛ call options؛ abnormal returns؛ quantile regression | ||
| مراجع | ||
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