文章基本信息
- 标题：Testing the informativeness of non-price variables with MIDAS touch
- 本地全文：下载
- 作者：Avinash ; T. Mallikarjunappa
- 期刊名称：IIMB Management Review
- 印刷版ISSN：0970-3896
- 出版年度：2020
- 卷号：32
- 期号：2
- 页码：189-207
- DOI：10.1016/j.iimb.2019.10.006
- 语种：English
- 出版社：Elsevier B.V.
- 摘要：We examine whether open interest and volume-based price predictors are informative in predicting the underlying assets’ price on options’ expiry. We apply MIDAS estimation procedure on the data extracted from NSE and CMIE-Prowess database for the period between 2011 and 2016. The results of MIDAS estimation uphold the informativeness of non-price variables for 10 stocks and Nifty50 index. In-sample fit verification highlights that MIDAS estimate fits better than time aggregation and distributed lag estimates to actual price. The out-of-sample forecast evaluation coupled with the Wilcoxon test further confirms the relatively better performance of our model over the other two models. © 2020 Published by Elsevier Ltd on behalf of Indian Institute of Management Bangalore. This is an open access article under the CC BY-NC-ND license.
- 关键词：Derivatives; Forecasting; Informational content; MIDAS; Non-price; Open interest; Options; Volume
