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International Finance Review
The Japanese Finance: Corporate Finance and Capital Markets in ...
Edited by
J. Jay Choi
J. Jay Choi
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Takato Hiraki
Takato Hiraki
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Author and Other Information
Emerald Group Publishing Limited
Volume
4
DOI:
https://doi.org/10.1016/S1569-3767(2003)4
ISBN electronic:
978-1-84950-246-7
ISBN print:
978-0-76231-068-5
Series ISSN:
1569-3767
Publication date:
2003
Book Chapter

DID OPTION MARKETS ANTICIPATE THE DECLINE IN JAPANESE STOCK PRICES IN 1990?

By
Naoya Takezawa;
Naoya Takezawa
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Nobuya Takezawa
Nobuya Takezawa
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Author and Other Information
Naoya Takezawa
Nobuya Takezawa
© Emerald Group Publishing Limited
2003
Doi:
https://doi.org/10.1016/S1569-3767(03)04011-1
  • Published:
    2003
© Emerald Group Publishing Limited
2003

We empirically investigate the extent to which index options markets anticipated the sharp decline in stock prices in early 1990 in Japan. A skewness index (Bates, 1991) measuring the extent to which out-of-the-money puts are priced relative to calls is estimated.

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