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Effect of Unexpected Option Volume on the Spot Volatility
Author(s): 
Pages: 584-592
Year: Issue:  6
Journal: Acta Scientiarum Naturalium Universitatis Neimongol

Keyword:  option volumespotvolatility;
Abstract: The effect of the unexpected option trading volume on the spot volatility was examined by ARCH and GARCH models.The analysis indicates that the unexpected option trading volume increases spot volatility differently in all circumstances.It is maximum in the case that lowered the benchmark interest rates of RMB loans in April,and it is minimum in the case that lowered the benchmark interest rates of RMB loans and reserve requirements in October period.
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