Implied Volatility of Call Options and Abnormal Stock Returns: Evidence From Quantile Analysis of Abnormal Return Determinants
Sayyede Elnaz Afzaliyan Boroujeni; Abdolmajid Abdolbaghi Ataabadi; Naser Khani · 2025 · Mathematics and Modeling in Finance
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Abstract
The present study aims to assess the impact of implied volatility (IV) extracted from call option prices on abnormal stock returns. IV, as a critical market volatility index, plays an essential role in explaining investor behavior. The Black-Scholes model was used to extract IV, applying Brent’s method due to the absence of an explicit closed-form solution. In addition, daily call option trading data from the Tehran Stock Exchange (TSE) were utilized during 2016-24. Further, quantile multivariate regression, along with wild bootstrap resampling (1,000 repetitions), was employed for model estim
Abstract by Sayyede Elnaz Afzaliyan Boroujeni; Abdolmajid Abdolbaghi Ataabadi; Naser Khani, Mathematics and Modeling in Finance (2025) — licensed CC BY 4.0.
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Metadata source: DOAJ · DOI 10.22054/jmmf.2025.87610.1205