Template-Type: ReDIF-Paper 1.0
Series: Tinbergen Institute Discussion Papers
Creation-Date: 2015-01-06
Number: 15-002/IV/DSF 83
Author-Name: Daniël Linders
Author-Workplace-Name: KU Leuven, Leuven, Belgium
Author-Name: Jan Dhaene
Author-Workplace-Name: KU Leuven, Leuven, Belgium
Author-Name: Wim Schoutens
Author-Workplace-Name: KU Leuven, Leuven, Belgium
Title: Option Prices and Model-free Measurement of Implied Herd Behavior in Stock Markets
Abstract: In this paper, we introduce two classes of indices which can be used to measure the market perception concerning the degree of dependency that exists between a set of random variables, representing di¤erent stock prices at a …xed future date. The construction of these measures is based on the theory of comonotonicity. Both types of herd behavior indices are model-free and risk-neutral, derived from available option data. Depending on its particular de…nition, each index represents a particular aspect of the market sentiment concerning future co-movement of the underlying stock prices.
Classification-JEL: G13, G14
Keywords: comonotonicity, herd behavior, HIX, index options, market fear, Model-free measures, VIX
File-Url: https://papers.tinbergen.nl/15002.pdf
File-Format: application/pdf
File-Size: 469544 bytes
Handle: RePEc:tin:wpaper:20150002