Rational repricing of risk during COVID‐19: Evidence from Indian single stock options market
利用印度个股期权价格中的前瞻性不确定性指标，研究发现COVID-19引发的市场崩盘和反弹可被解释为对不断变化条件的理性反应，包括波动率逐步上升、政府干预后尾部风险下降但不确定性仍高，且不同行业尾部风险下降动态各异。
Abstract Could the COVID‐19 related market crash and subsequent rebound be explained as a rational response to evolving conditions? Our results using multiple forward‐looking measures of uncertainty implied from stock option prices suggest so. First, we find a gradual build‐up of volatility during the month preceding the spike at the start of the pandemic. Second, while tail risk declined after government interventions, the level of uncertainty remained elevated for stocks across industries. Third, the dynamics of decline in tail risk in stocks was industry‐dependent, suggesting that the market performed a fine‐grained analysis of each stock's uncertainty through the pandemic.