The information content of option implied volatility surrounding the 1997 Hong Kong stock market crash
研究了1997年香港股市崩盘期间期权隐含波动率的信息含量，发现隐含波动率在预测未来实际波动率方面优于其他领先指标，且简单信号提取模型可在极端波动前发出预警。
Abstract This study examines the information conveyed by options and examines their implied volatility at the time of the 1997 Hong Kong stock market crash. The author determines the efficiency of implied volatility as a predictor of future volatility by comparing it to other leading indicator candidates. These include volume and open interest of index options and futures, as well as the arbitrage basis of index futures. Using monthly, nonoverlapping data, the study reveals that implied volatility is superior to those variables in forecasting future realized volatility. The study also demonstrates that a simple signal extraction model could have produced useful warning signals prior to periods of extreme volatility. These results indicate that the options market is highly efficient informationally. © 2007 Wiley Periodicals, Inc. Jrl Fut Mark 27:555–574, 2007