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The SKEW index: Extracting what has been left
Journal of Financial Stability ( IF 6.1 ) Pub Date : 2020-11-01 , DOI: 10.1016/j.jfs.2020.100816
Mattia Bevilacqua , Radu Tunaru

This study disentangles a measure of implied skewness that is related to downward movements in the U.S. equity index from the corresponding implied skewness that is associated with upward movements. A positive SKEW index is constructed from S&P 500 call options, whereas a negative SKEW index is constructed from the S&P 500 put options. We show that the positive SKEW is linked to market sentiment, whereas the negative SKEW is related to existing tail risk measures. The negative SKEW is proposed as a more objective prudent tail risk measure, and it is found to be able to predict recessions, market downturns, and uncertainty indicators up to one year in advance. The predictive power of the negative SKEW is also confirmed when we control for other tail risk measures and also out-of-sample.



中文翻译:

SKEW索引:提取剩余的内容

这项研究从与向上运动相关的相应隐含偏斜度中解开了与美国股票指数向下运动相关的隐含偏斜度的度量。一个正的SKEW指数是由S&P 500看涨期权构成的,而一个负的SKEW指数是由S&P 500看跌期权构成的。我们表明,积极的偏航与市场情绪有关,而消极的偏航与现有的尾部风险度量有关。负SKEW被建议作为一种更为客观,审慎的尾部风险度量,并且被发现能够提前一年预测衰退,市场低迷和不确定性指标。当我们控制其他尾部风险措施以及样本外时,也确认了负偏航的预测能力。

更新日期:2020-12-23
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