【新作發表】The Volatility Spillover Effect between Index Options and their Underlying Markets: Evidence from the US, the UK, and Taiwan

The Volatility Spillover Effect between Index Options and their Underlying Markets: Evidence from the US, the UK, and Taiwan: This study examines the volatility spillover effect among five index options and their underlying markets. Results show that the bidirectional volatility spillover effect and the cross‐market leverage...