The information content of currency option-implied volatilities: implications for ex-ante forecasts of global equity correlations

被引：1

作者：

Figueiredo, Antonio ^{[1
]}

Parhizgari, Ali M. ^{[2
]}

Dupoyet, Brice ^{[2
]}

机构：

[1] Nova Southeastern Univ, Huizenga Coll Business & Entrepreneurship, Ft Lauderdale, FL 33314 USA

[2] Florida Int Univ, Coll Business Adm, Miami, FL USA

来源：

EUROPEAN JOURNAL OF FINANCE | 2023年 / 29卷 / 18期

关键词：

Exchange rate; implied volatility; international equity; correlations; FINANCIAL-MARKETS; STOCK MARKETS; RETURNS; INTERDEPENDENCE; CONTAGION; LINKAGES; INDEXES; CRISIS; MODEL; BOND;

D O I：

10.1080/1351847X.2023.2189020

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

We use existing currency models, global capital flows, international parity, the Taylor rule, and some simplifying assumptions to derive and empirically test a link between the information contained in currency option-implied volatilities and future global equity correlations. Using data from January 1999 to May 2020, we test our hypothesis and find that exchange rate option-implied volatilities - coupled with one-period ex-post correlations - more accurately predict subsequent world equity market correlations than other models. Our findings have implications for portfolio diversification, forecasts of overall equity portfolio volatility, and portfolio optimization.

引用

页码：2128 / 2153

页数：26