Covid-19 and market expectations: Evidence from option-implied densities

Michael Hanke; Maria Kosolapova; Alex Weissensteiner

doi:10.1016/j.econlet.2020.109441

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Covid-19 and market expectations: Evidence from option-implied densities

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Covid-19 and market expectations: Evidence from option-implied densities

Michael Hanke, Maria Kosolapova and Alex Weissensteiner

Economics Letters, Vol.195, 109441

195

2020

DOI: https://doi.org/10.1016/j.econlet.2020.109441

Handle:

https://hdl.handle.net/10863/46965

Abstract

COVID-19

Risk-neutral densities

Equity index options

We compare risk-neutral densities from equity index options across several countries during the early phase of the COVID-19 pandemic. The initial reaction in all analyzed markets was late, abrupt and simultaneous. Only a few weeks later, densities started to differ across markets.

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Details

Title: Covid-19 and market expectations: Evidence from option-implied densities
Creators: Michael Hanke - University of Liechtenstein
Maria Kosolapova - Free University of Bozen-Bolzano
Alex Weissensteiner - Free University of Bozen-Bolzano
Publication Details: Economics Letters, Vol.195, 109441
ISSN: 0165-1765
EISSN: 0165-1765
Series / Volume: 195
Publisher: Elsevier
Number of pages: 4
Identifiers: (UNIBZ)34816721
991007045454601241
Web of Science ID: WOS:000572330200023
Scopus ID: n.a.
Copyright: This is an open access article under the CC BY-NC-ND license (http://creativecommons.org/licenses/by-nc-nd/4.0/).
Academic Unit: Faculty of Economics and Management
Language: English
Resource Type: Journal article
Author Names String: Hanke M, Kosolapova M, Weissensteiner A

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