This paper uses transfer entropy measures to analyze the information sharing between the option implied volatility, the realized volatility and the returns of six financial assets during the COVID-19 pandemic. The measures indicate increases in the information transmissions during the pandemic which are uniform across the volatilities and the returns of all assets. In these transmissions, the option implied volatilities are found to play the central role, particularly in the returns of the assets as opposed to its realized volatilities. Thus, we may conclude that the predictability of the volatilities derived from option pricing models has improved during the pandemic and that this improvement has reduced the uncertainty of the future returns and the volatilities, albeit to a lower extent. These findings bear implications for constructing models that predict volatilities and returns during crises periods.

本文使用转移熵测度分析了 COVID-19 大流行期间六种金融资产的期权隐含波动率、已实现波动率和收益之间的信息共享。这些措施表明，在大流行期间，信息传递的增加在所有资产的波动性和收益方面都是一致的。在这些传输中，发现期权隐含波动率发挥了核心作用，特别是在资产回报方面，而不是其已实现的波动率。因此，我们可以得出结论，在大流行期间，从期权定价模型得出的波动率的可预测性有所提高，并且这种改进降低了未来收益和波动率的不确定性，尽管程度较低。