IDEAS home Printed from https://ideas.repec.org/a/ids/ijfsmg/v8y2015i1p42-57.html
   My bibliography  Save this article

Analysis of the QQQ spot and option volatility behaviour around the QQQ move from AMEX to NASDAQ

Author

Listed:
  • Stoyu I. Ivanov

Abstract

In this paper, we study the behaviour of QQQ volatility in the spot and option markets around QQQ's move from AMEX to NASDAQ on 1 December 2004. We test whether the QQQ option implied volatility has changed around this event and whether this was a result of a change in spot volatility or hedging demand. We find that indeed the QQQ option implied volatility has changed around the time of the move. We document that neither QQQ spot volatility nor speculation has had an impact on the implied volatility change. We find that investor hedging activity is the driving force behind this change, in support of Bollen and Whaley's net buying pressure hypothesis. To the best of our knowledge, analysis of spot and option markets around moves of trading from one exchange to another and name changes have not been done before.

Suggested Citation

  • Stoyu I. Ivanov, 2015. "Analysis of the QQQ spot and option volatility behaviour around the QQQ move from AMEX to NASDAQ," International Journal of Financial Services Management, Inderscience Enterprises Ltd, vol. 8(1), pages 42-57.
    • Handle: RePEc:ids:ijfsmg:v:8:y:2015:i:1:p:42-57
    as

    Download full text from publisher

    File URL: http://www.inderscience.com/link.php?id=66568
    Download Restriction: Access to full text is restricted to subscribers.
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:ids:ijfsmg:v:8:y:2015:i:1:p:42-57. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Sarah Parker (email available below). General contact details of provider: http://www.inderscience.com/browse/index.php?journalID=76 .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.