TAILIEUCHUNG - MODELLING THE IMPLIED PROBABILITY OF STOCK MARKET MOVEMENTS

Our paper offers two contributions to the literature: First, we investigate RNDs for the German stock market, which is the largest stock market in the euro area. Second, we evaluate whether a comprehensive set of factors can explain the changes in the uncertainty about future equity prices. Hence, we analyse which types of information affect the perceptions about future stock market movements as contained in DAX option prices. So far, the literature has concentrated on issues of estimations, but there has been no attempt to analyse the potential linkages of RNDs to fundamental factors by means of an econometric analysis 6 . Our study is closely related to. | EUROPEAN CENTRAL BANK WORKING PAPER SERIES WORKING PAPER NO. 212 MODELLING THE IMPLIED PROBABILITY OF STOCK MARKET MOVEMENTS BY ERNST GLATZER AND MARTIN SCHEICHER January 2003 EUROPEAN CENTRAL BANK WORKING PAPER SERIES WORKING PAPER NO. 212 MODELLING THE IMPLIED PROBABILITY OF STOCK MARKET MOVEMENTS1 BY ERNST GLATZER2 AND MARTIN SCHEICHER3 January 2003 This paper was presented at the ECB workshop The Measures and Determinants of Financial Market Uncertainty atthe2002 meeting of the European Finance Association in Berlin theBank for International Settlementsand Ni foninibank. We are grateful to Claudio Borio EH Remo Iona ChristianUpperandananonymousrefereefortheirhelpful comments. Theopinions expressed herein are those of the authors and do not necessarily represent those of the Oesterreichische Nationalbank or the European Central Bank. This paper can be downloaded without charge from http . int or from the Social Science Research Network electronic library at http abstract_id-xxxxxx 2 Oesterreichische Nationalbank Otto-Wagner-Platz3 . Box6l A 1011 Vienna Austria email tel 43 40420 7423 fax 43 l 7499 3 Oesterreichische Nationalbank Otto-Wagner-Platz 3 . Box ól A I OIIVienna Austria email te 43 40420 74l8 fax 43 l 40420 7499 European Central Bank 2003 Address Kaiserstrasse 29 D-603II Frankfurt am Main Germany Postal address Postfach 16 03 19 D-60066 Frankfurt am Main Germany Telephone Internet Fax Telex 49 69 1344 0 http 49 69 1344 6000 411 I44ecbd All rights reserved. Reproduction for educational and non-commercial purposes is permitted provided that the source is acknowledged. The views expressed in this paper do not necessarily reflect those of the European Central Rank. ISSN l56l-O8IO print ISSN 1725-2806 online

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