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    Title: The Shape of Option Implied Volatility: a Study Based on Market Net Demand Pressure
    Authors: Mo, Tianyu;Zheng, Zhenlong;Lin, William T.
    Contributors: 淡江大學財務金融學系
    Keywords: Option;Implied volatility;Market maker;Net demand pressure;Options markets;Supply and demand
    Date: 2012-01-01
    Issue Date: 2012-03-06 20:29:54 (UTC+8)
    Publisher: Shanghai Jiao Tong University; Emerald Group Publishing
    Abstract: Purpose – Owing to the importance of the efficiency of commercial banks, the aim of this paper is to find the relationship between capital regulation, monetary policy and the asymmetric effects of the commercial banks' efficiency.

    Design/methodology/approach – First, the paper makes a static profit model of commercial banks with double constraints and then makes a proposition with numeric simulation.

    Findings – In this paper, the author finds it unreasonable to calculate the commercial banks' cost and profit efficiency by SFA (DEA) directly, as there is no evidence that indicates the linearity relationship among them. Hence, more complicated solutions should be introduced.

    Research limitations/implications – The rate of non-performing loans (NPL) is inversely proportional to the commercial banks' cost and profit efficiency and capital adequacy ratio (CAR) and statutory reserve ratio (SRR) show a nonlinear relationship between commercial banks' cost and profit efficiency. Hence, the paper defines the different influences of commercial banks' efficiency imposed by CAR and SRR as the asymmetric effects of commercial banks' efficiency.

    Practical implications – The nonlinear relationship is found based on improved Kopecky and VanHoose, so excessive regulation has harmful effects on the commercial banks. The reasonable capital regulation and other prudential supervision measures should be emphasized.

    Originality/value – First, the paper gets its proposition through the improved KV model, which displays a new perception on analyzing this problem. Second, the nonlinear relationship is discovered by this new model and the empirical results show the nonlinear relationship further.
    Relation: China Finance Review International 2(1), pp.27-52
    DOI: 10.1108/20441391211197447
    Appears in Collections:[財務金融學系暨研究所] 期刊論文

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