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Investment disputes and their explicit role in option market uncertainty and overall risk instability

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Bibliographic Details
Main Authors: Zdeněk, Drábek, Miloš, Kopa, Matúš, Maciak
Format: Book
Language:English
Published: Springer 2023
Subjects:
Investment disputes
overall risk instability
Online Access:https://link.springer.com/article/10.1007/s10287-023-00447-1
https://dlib.phenikaa-uni.edu.vn/handle/PNK/8429
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spelling oai:localhost:PNK-84292023-05-10T01:13:46Z Investment disputes and their explicit role in option market uncertainty and overall risk instability Zdeněk, Drábek Miloš, Kopa Matúš, Maciak Investment disputes overall risk instability CC BY We propose a methodological approach for capturing and analyzing the impacts of investment disputes on option markets. A dispute submission typically brings in unspecified uncertainty and additional risk. The implied volatility of options is shown to reflect such effects. However, nontrivial caution and nonstandard statistical techniques are needed to analyze them appropriately. Artificial options with a constant (over time) maturity are introduced to emphasize these effects. A panel data representation of artificial implied volatility smiles is used to ensure the overall model flexibility, transparency, and its practical interpretability. Finally, a stochastically valid changepoint detection procedure is adopted to reveal significant impacts of an investment dispute on the overall riskiness and the stock price evolution. The results show significant impacts of the first tribunal meeting and the first procedural order of the disputes under consideration. 2023-05-10T01:13:46Z 2023-05-10T01:13:46Z 2023 Book https://link.springer.com/article/10.1007/s10287-023-00447-1 https://dlib.phenikaa-uni.edu.vn/handle/PNK/8429 en application/pdf Springer
institution Digital Phenikaa
collection Digital Phenikaa
language English
topic Investment disputes
overall risk instability
spellingShingle Investment disputes
overall risk instability
Zdeněk, Drábek
Miloš, Kopa
Matúš, Maciak
Investment disputes and their explicit role in option market uncertainty and overall risk instability
description CC BY
format Book
author Zdeněk, Drábek
Miloš, Kopa
Matúš, Maciak
author_facet Zdeněk, Drábek
Miloš, Kopa
Matúš, Maciak
author_sort Zdeněk, Drábek
title Investment disputes and their explicit role in option market uncertainty and overall risk instability
title_short Investment disputes and their explicit role in option market uncertainty and overall risk instability
title_full Investment disputes and their explicit role in option market uncertainty and overall risk instability
title_fullStr Investment disputes and their explicit role in option market uncertainty and overall risk instability
title_full_unstemmed Investment disputes and their explicit role in option market uncertainty and overall risk instability
title_sort investment disputes and their explicit role in option market uncertainty and overall risk instability
publisher Springer
publishDate 2023
url https://link.springer.com/article/10.1007/s10287-023-00447-1
https://dlib.phenikaa-uni.edu.vn/handle/PNK/8429
_version_ 1765626990156578816
score 8.891145

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