Browsing by Author "Shackleton, Mark B."

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Citation - WoS: 11
Citation - Scopus: 8
Option-implied volatility measures and stock return predictability
(Institutional Investor Inc info@iijournals.com, 2016) Xi Fu; Yakup Eser Arisoy; Mark B. Shackleton; Mehmet Umutlu; Arisoy, Y. Eser; Fu, Xi; Shackleton, Mark B.; Umutlu, Mehmet
Using firm-level option and stock data we examine the predictive ability of option-implied volatility measures proposed by previous studies and recommend the best measure using up-to-date data. Portfolio-level analysis implies significant non-zero risk-adjusted returns on arbitrage portfolios formed on the call-put implied volatility spread implied volatility skew and realized-implied volatility spread. Firm-level cross-sectional regressions show that the implied volatility skew has the most significant predictive power over various investment horizons. The predictive power persists before and after the 2008 Global Financial Crisis. © 2018 Elsevier B.V. All rights reserved.
Citation - WoS: 13
Citation - Scopus: 15
Stock-return volatility and daily equity trading by investor groups in Korea
(Elsevier, 2015) Mehmet Umutlu; Mark B. Shackleton; Shackleton, Mark B.; Umutlu, Mehmet
We examine the short-run relationship between stock-return volatility and daily equity trading by several investor groups in the Korean Stock Exchange. We also investigate whether trade characteristics and trading styles can explain the potential distinct volatility effects of these investor groups. For large stocks we find that whether a trade is a purchase or a sale and whether it is a contrarian or a momentum trade does not play a role in the relation between volatility and trading. It is the trading of informed institutional investors against non-informed individual investors that drives volatility and produces a negative volatility effect. We further show that net foreign trading has an increasing impact on volatility though it is not always significant. Our results are robust to alternative measures of volatility and obtained after controlling for volatility persistency total volume and lagged stock returns. © 2015 Elsevier B.V. All rights reserved.