{"id":"https://openalex.org/W2017184900","doi":"https://doi.org/10.1108/17439130710738736","title":"The relationship between implied volatility and autocorrelation","display_name":"The relationship between implied volatility and autocorrelation","publication_year":2007,"publication_date":"2007-04-02","ids":{"openalex":"https://openalex.org/W2017184900","doi":"https://doi.org/10.1108/17439130710738736","mag":"2017184900"},"language":"en","primary_location":{"id":"doi:10.1108/17439130710738736","doi":"https://doi.org/10.1108/17439130710738736","is_oa":false,"landing_page_url":"https://doi.org/10.1108/17439130710738736","pdf_url":null,"source":{"id":"https://openalex.org/S79989894","display_name":"International Journal of Managerial Finance","issn_l":"1743-9132","issn":["1743-9132","1758-6569"],"is_oa":false,"is_in_doaj":false,"is_core":true,"listed_in":["abdc-a","anvur-class-a","anvur-scientific","cwts-core","fnege-4","jufo-1","norway-1","poland-40","russia-white-list-2","vabb-shw"],"host_organization":"https://openalex.org/P4310319811","host_organization_name":"Emerald Publishing Limited","host_organization_lineage":["https://openalex.org/P4310319811"],"host_organization_lineage_names":["Emerald Publishing Limited"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"International Journal of Managerial Finance","raw_type":"journal-article"},"volume":null,"type":"article","indexed_in":["crossref"],"open_access":{"is_oa":false,"oa_status":"closed","oa_url":null,"any_repository_has_fulltext":false},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5066686727","display_name":"Robert W. Faff","orcid":"https://orcid.org/0000-0001-6867-9599","observed_orcids":["https://orcid.org/0000-0001-6867-9599"]},"institutions":[{"id":"https://openalex.org/I56590836","display_name":"Monash University","ror":"https://ror.org/02bfwt286","country_code":"AU","type":"education","lineage":["https://openalex.org/I56590836"]}],"countries":["AU"],"is_corresponding":false,"raw_author_name":"Robert W. Faff","raw_affiliation_strings":["Department of Accounting and Finance, Monash University, Victoria, Australia"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Department of Accounting and Finance, Monash University, Victoria, Australia","institution_ids":["https://openalex.org/I56590836"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5072933901","display_name":"Michael D. McKenzie","orcid":"https://orcid.org/0000-0001-5106-4280","observed_orcids":["https://orcid.org/0000-0001-5106-4280"]},"institutions":[{"id":"https://openalex.org/I82951845","display_name":"RMIT University","ror":"https://ror.org/04ttjf776","country_code":"AU","type":"education","lineage":["https://openalex.org/I82951845"]}],"countries":["AU"],"is_corresponding":false,"raw_author_name":"Michael D. McKenzie","raw_affiliation_strings":["School of Economics and Finance, RMIT University, Melbourne, Australia"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"School of Economics and Finance, RMIT University, Melbourne, Australia","institution_ids":["https://openalex.org/I82951845"]}]}],"institutions":[],"countries_distinct_count":1,"institutions_distinct_count":2,"corresponding_author_ids":[],"corresponding_institution_ids":[],"apc_list":null,"apc_paid":null,"fwci":1.1828,"has_fulltext":false,"cited_by_count":22,"citation_normalized_percentile":{"value":0.8623082,"is_in_top_1_percent":false,"is_in_top_10_percent":false},"cited_by_percentile_year":{"min":89,"max":98},"biblio":{"volume":"3","issue":"2","first_page":"191","last_page":"196"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10047","display_name":"Financial Markets and Investment Strategies","score":0.8823000192642212,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T10047","display_name":"Financial Markets and Investment Strategies","score":0.8823000192642212,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T10282","display_name":"Financial Risk and Volatility Modeling","score":0.11150000244379044,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":0.0024999999441206455,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/implied-volatility","display_name":"implied volatility","score":0.9409999847412109},{"id":"https://openalex.org/keywords/return-autocorrelation","display_name":"return autocorrelation","score":0.9169999957084656},{"id":"https://openalex.org/keywords/option-implied-volatility","display_name":"option-implied volatility","score":0.8289999961853027},{"id":"https://openalex.org/keywords/stock-index-returns","display_name":"stock index returns","score":0.6980000138282776},{"id":"https://openalex.org/keywords/trading-volume","display_name":"trading volume","score":0.8080000281333923},{"id":"https://openalex.org/keywords/feedback-trading","display_name":"feedback trading","score":0.6819999814033508},{"id":"https://openalex.org/keywords/s-p-500","display_name":"S&P 500","score":0.7950000166893005},{"id":"https://openalex.org/keywords/nasdaq-100","display_name":"NASDAQ 100","score":0.9800000190734863},{"id":"https://openalex.org/keywords/us-stock-market","display_name":"US stock market","score":0.5189999938011169},{"id":"https://openalex.org/keywords/recession","display_name":"economic recession","score":0.5049999952316284}],"concepts":[{"id":"https://openalex.org/C91602232","wikidata":"https://www.wikidata.org/wiki/Q756115","display_name":"Volatility (finance)","level":2,"score":0.7624081373214722},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.6890351176261902},{"id":"https://openalex.org/C117996083","wikidata":"https://www.wikidata.org/wiki/Q5473296","display_name":"Forward volatility","level":4,"score":0.6872203350067139},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.6660997867584229},{"id":"https://openalex.org/C24189920","wikidata":"https://www.wikidata.org/wiki/Q1660345","display_name":"Implied volatility","level":3,"score":0.6370076537132263},{"id":"https://openalex.org/C5297727","wikidata":"https://www.wikidata.org/wiki/Q786970","display_name":"Autocorrelation","level":2,"score":0.6140782833099365},{"id":"https://openalex.org/C13290067","wikidata":"https://www.wikidata.org/wiki/Q915788","display_name":"Volatility smile","level":3,"score":0.6091132164001465},{"id":"https://openalex.org/C192620184","wikidata":"https://www.wikidata.org/wiki/Q7940002","display_name":"Volatility swap","level":4,"score":0.5121824741363525},{"id":"https://openalex.org/C106159729","wikidata":"https://www.wikidata.org/wiki/Q2294553","display_name":"Financial economics","level":1,"score":0.48832961916923523},{"id":"https://openalex.org/C44731940","wikidata":"https://www.wikidata.org/wiki/Q7940001","display_name":"Volatility risk premium","level":4,"score":0.4689604341983795},{"id":"https://openalex.org/C85393063","wikidata":"https://www.wikidata.org/wiki/Q596307","display_name":"Stochastic volatility","level":3,"score":0.43798360228538513},{"id":"https://openalex.org/C105795698","wikidata":"https://www.wikidata.org/wiki/Q12483","display_name":"Statistics","level":1,"score":0.14716392755508423},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.1256205439567566}],"mesh":[],"locations_count":3,"locations":[{"id":"doi:10.1108/17439130710738736","doi":"https://doi.org/10.1108/17439130710738736","is_oa":false,"landing_page_url":"https://doi.org/10.1108/17439130710738736","pdf_url":null,"source":{"id":"https://openalex.org/S79989894","display_name":"International Journal of Managerial Finance","issn_l":"1743-9132","issn":["1743-9132","1758-6569"],"is_oa":false,"is_in_doaj":false,"is_core":true,"listed_in":["abdc-a","anvur-class-a","anvur-scientific","cwts-core","fnege-4","jufo-1","norway-1","poland-40","russia-white-list-2","vabb-shw"],"host_organization":"https://openalex.org/P4310319811","host_organization_name":"Emerald Publishing Limited","host_organization_lineage":["https://openalex.org/P4310319811"],"host_organization_lineage_names":["Emerald Publishing Limited"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"International Journal of Managerial Finance","raw_type":"journal-article"},{"id":"pmh:oai:alma61RMIT.INST:11247283560001341","doi":null,"is_oa":false,"landing_page_url":"http://doi.org/10.1108/17439130710738736","pdf_url":null,"source":{"id":"https://openalex.org/S4306402074","display_name":"RMIT Research Repository (RMIT University Library)","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I82951845","host_organization_name":"RMIT University","host_organization_lineage":["https://openalex.org/I82951845"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"","raw_type":"text"},{"id":"pmh:oai:figshare.com:article/27425373","doi":null,"is_oa":false,"landing_page_url":"https://figshare.com/articles/journal_contribution/The_relationship_between_implied_volatility_and_autocorrelation/27425373","pdf_url":null,"source":{"id":"https://openalex.org/S4377196282","display_name":"Figshare","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I4210132348","host_organization_name":"Figshare (United Kingdom)","host_organization_lineage":["https://openalex.org/I4210132348"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":"Text"}],"best_oa_location":null,"sustainable_development_goals":[],"study_designs":[],"awards":[],"funders":[],"has_content":{"grobid_xml":false,"pdf":false},"content_urls":null,"referenced_works_count":11,"referenced_works":["https://openalex.org/W1993613012","https://openalex.org/W2000319916","https://openalex.org/W2001158001","https://openalex.org/W2003179717","https://openalex.org/W2015213301","https://openalex.org/W2033815796","https://openalex.org/W2063839172","https://openalex.org/W2069138714","https://openalex.org/W2078723951","https://openalex.org/W2093804588","https://openalex.org/W3124187578"],"related_works":["https://openalex.org/W7033812008","https://openalex.org/W2093804588","https://openalex.org/W1974332167","https://openalex.org/W2027005461","https://openalex.org/W3130896025","https://openalex.org/W1980939611","https://openalex.org/W2015213301","https://openalex.org/W1982598674","https://openalex.org/W4414051701","https://openalex.org/W2142446368"],"abstract_inverted_index":{"Purpose":[0],"This":[1,159],"paper":[2],"empirically":[3],"assesses":[4],"the":[5,16,26,37,55,112,154,166,176],"determinants":[6],"of":[7,18,28,79,145,153,165,175],"conditional":[8],"stock":[9,107],"index":[10,40],"autocorrelation":[11,132],"with":[12],"particular":[13],"emphasis":[14],"on":[15],"impact":[17],"return":[19,88,96],"volatility":[20,44,72,97,134,148],"that":[21,83,124],"are":[22,41,73,90,109],"theoretically":[23],"linked":[24],"through":[25],"behaviour":[27],"feedback":[29],"traders.":[30],"Design/methodology/approach":[31],"The":[32,77,121],"S&P":[33],"100,":[34],"500":[35],"and":[36,43,71,111,133],"NASDAQ":[38],"100":[39],"considered":[42],"in":[45,67,93,115,150,179],"each":[46],"series":[47],"is":[48,65,98,114,135,156],"captured":[49],"using":[50],"option\u2010implied":[51,180],"estimates":[52],"taken":[53],"from":[54],"Chicago":[56],"Board":[57],"Options":[58],"Exchange.":[59],"A":[60],"seemingly":[61],"unrelated":[62],"regression":[63],"approach":[64],"used":[66],"which":[68],"trading":[69],"volume":[70],"simultaneously":[74],"modelled.":[75],"Findings":[76],"results":[78,122],"this":[80,151],"study":[81,160],"suggest":[82],"low":[84],"or":[85],"even":[86],"negative":[87],"autocorrelations":[89],"more":[91],"likely":[92],"situations":[94],"where:":[95],"high;":[99,110],"price":[100],"falls":[101],"by":[102,138],"a":[103,116,129,139,162,172],"large":[104],"amount;":[105],"traded":[106],"volumes":[108],"economy":[113],"recessionary":[117],"phase.":[118],"Research":[119],"limitations/implications":[120],"confirm":[123],"previous":[125],"related":[126],"work":[127],"showing":[128],"link":[130],"between":[131],"not":[136],"induced":[137],"mechanical":[140],"relation.":[141],"Practical":[142],"implications":[143],"Usage":[144],"endogenously":[146],"determined":[147],"measures":[149],"area":[152],"literature":[155],"justified.":[157],"Originality/value":[158],"provides":[161],"robustness":[163],"test":[164],"autocorrelation/volatility":[167],"relation,":[168],"as":[169,171],"well":[170],"further":[173],"exploration":[174],"utility":[177],"inherent":[178],"volatility.":[181]},"counts_by_year":[{"year":2025,"cited_by_count":2},{"year":2023,"cited_by_count":1},{"year":2022,"cited_by_count":1},{"year":2020,"cited_by_count":1},{"year":2019,"cited_by_count":5},{"year":2018,"cited_by_count":2},{"year":2017,"cited_by_count":3},{"year":2016,"cited_by_count":1},{"year":2014,"cited_by_count":1},{"year":2012,"cited_by_count":1}],"updated_date":"2026-09-25T08:18:29.962427","created_date":"2016-06-24T00:00:00"}
