Implied volatility smiles, option mispricing and net buying pressure : evidence around the global financial crisis

Using the recent global financial crisis as an exogenous setting, we examine the presence and source of implied volatility smile phenomena in Australian S&P ASX 200 index options. We find a pronounced implied volatility smile for index puts in both bull and bear markets and a smile for index calls in the bear but not bull market. Implied volatilities of out-of-the money puts tend to be upwards biased whilst those of calls tend to be downwards biased. We also find that the bias in implied volatilities yields excess returns based on unhedged and delta-neutral trading strategies, suggesting that implied volatilities are related to option mispricing. Net buying pressure from market participants appears to be a source of mispricing in the case of out-of-the-money index puts with excess demand particularly pronounced during the bull period before the global financial crisis unfolded.

Investment and oil price volatility

In this note, we consider the relationship between oil price volatility and firm returns for 560 firms listed on the New York Stock Exchange. Using daily time series data from 2000 to 2008, we find that oil price volatility increases firm returns for the majority of the firms in our sample.

Simultaneous synthesis of gold nanoparticles and conducting poly(3,4-ethylenedioxythiophene) towards optoelectronic nanocomposites

In this paper, a new method for obtaining poly(3,4-ethylenedioxythiophene) (PEDOT/PSS)/gold nanocomposites is described. In a first step, PEDOT/PSS gold nanoparticle aqueous dispersions were obtained by simultaneous chemical synthesis of PEDOT and gold nanoparticles in the presence of PSS that acts as a stabilizer. In a second step, these PEDOT/PSS gold nanoparticle dispersions were used to formulate nanocomposites by mixing the initial dispersion with commercially available PEDOT/PSS aqueous dispersion. Nanocomposite thin films, obtained by casting these dispersions, present an intimate contact between the inorganic and organic components

The volume and volatility relation in the Australian stock market

The thesis studies the volume-volatility relation in the Australian Securities Market. It is concluded that the number of trades is the most important variable driving realized volatility. The average trade size is significant but its explanatory power is only trivial. Order imbalance does not drive volatility in the Australian market.

Financial development, shocks, and growth volatility

This paper uses spectral theory to develop the following two testable hypotheses in a unified framework for the predictions of business-cycle and endogenous growth models: (i) financial development affects only business-cycle volatility; and (ii) shocks affect both business-cycle volatility and long-run volatility of GDP growth. In other words, volatility caused by shocks is more persistent than that caused by financial underdevelopment. We decompose the business-cycle and long-run volatility by the spectral method and then test the hypotheses at the cross-country level. Empirical evidence provides support for both hypotheses. Higher private credit, a bank-based measure of financial development, dampens business-cycle volatility but not long-run volatility. Volatility of shocks, as measured by the volatility of changes in the terms of trade, magnifies both business-cycle and long-run volatility. The results are robust to accounting for endogeneity, a market-based measure of financial development, and an alternative method of volatility decomposition.