Journal of Financial Markets 2026
Do different measures of stock market volatility risk have the same price?
Abstract
While other commonly used aggregate stock market volatility measures are strongly priced in the cross-section of stock returns, the empirical evidence is considerably weaker for option-implied market volatility. The differential pricing of market volatility risks is hard to reconcile with existing theories, but potentially consistent with partial segmentation between index options and equity markets. The comovement between option-implied volatility and other stock volatility measures contains valuable information about equity and index option market segmentation. The two markets exhibit time-varying segmentation, but have become more integrated in recent years, partly due to declining transaction costs and broader participation in options market.
- DOI
- 10.1016/j.finmar.2026.101087
- Pages
- 101087
- Language
- en
- Sources
- crossref openalex