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Rational repricing of risk during COVID-19: Evidence from Indian single stock options market

dc.contributor.authorAgarwalla, S. K.
dc.contributor.authorVarma, J. R.
dc.contributor.authorVirmani, V.
dc.date.accessioned2022-02-11T10:17:26Z
dc.date.available2022-02-11T10:17:26Z
dc.date.issued2021
dc.identifier.citationAgarwalla, S. K., Varma, J. R., & Virmani, V. (2021). Rational repricing of risk during COVID-19: Evidence from Indian single stock options market. Journal of Futures Markets, 41(10). https://doi.org/10.1002/fut.22240
dc.identifier.issn2707314
dc.identifier.urihttps://www.doi.org/10.1002/fut.22240
dc.identifier.urihttp://hdl.handle.net/11718/25420
dc.description.abstractCould 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.
dc.language.isoen_US
dc.publisherJohn Wiley and Sons Inc
dc.relation.ispartofJournal of Futures Markets
dc.subjectCOVID-19
dc.subjectoptions pricing
dc.subjectrisk-neutral density
dc.subjectvolatility smile
dc.titleRational repricing of risk during COVID-19: Evidence from Indian single stock options market
dc.typeArticle
dc.rights.licenseCC BY-NC-ND
dc.contributor.affiliationFinance and Accounting Area, Indian Institute of Management Ahmedabad, Ahmedabad, Gujarat, India
dc.contributor.institutionauthorAgarwalla, S.K., Finance and Accounting Area, Indian Institute of Management Ahmedabad, Ahmedabad, Gujarat, India
dc.contributor.institutionauthorVarma, J.R., Finance and Accounting Area, Indian Institute of Management Ahmedabad, Ahmedabad, Gujarat, India
dc.contributor.institutionauthorVirmani, V., Finance and Accounting Area, Indian Institute of Management Ahmedabad, Ahmedabad, Gujarat, India
dc.description.scopusid55776496900
dc.description.scopusid55903337300
dc.description.scopusid55293902300
dc.identifier.doi10.1002/fut.22240
dc.identifier.endpage1519
dc.identifier.startpage1498
dc.identifier.issue10
dc.identifier.volume41


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    The open-access journal articles collection includes articles published by faculty/researcher of Indian Institute of Management Ahmedabad in Gold/Diamond/ Hybrid/Green Open Access Journal. The Gold/Diamond Open Access Journals are those which published research articles as open access and are primarily licensed under the creative commons.

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