DID OPTION MARKETS ANTICIPATE THE DECLINE IN JAPANESE STOCK PRICES IN 1990?

Abstract

We empirically investigate the extent to which index options markets anticipated the sharp decline in stock prices in early 1990 in Japan. A skewness index (Bates, 1991) measuring the extent to which out-of-the-money puts are priced relative to calls is estimated.

Citation

Takezawa, N. and Takezawa, N. (2003), "DID OPTION MARKETS ANTICIPATE THE DECLINE IN JAPANESE STOCK PRICES IN 1990?", Choi, J.J. and Hiraki, T. (Ed.) The Japanese Finance: Corporate Finance and Capital Markets in ... (International Finance Review, Vol. 4), Emerald Group Publishing Limited, Leeds, pp. 227-232. https://doi.org/10.1016/S1569-3767(03)04011-1