Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/145915 
Erscheinungsjahr: 
2016
Schriftenreihe/Nr.: 
Beiträge zur Jahrestagung des Vereins für Socialpolitik 2016: Demographischer Wandel - Session: Empirical Finance I No. D12-V2
Verlag: 
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften, Leibniz-Informationszentrum Wirtschaft, Kiel und Hamburg
Zusammenfassung: 
We study the role of stress induced by time constraints on investors’ decision making. The need to perform contemporaneous tasks and external interference such as arriving unexpectedly late to work, might exacerbate acute stress and its impact on decision making. Accumulated laboratory research suggests that time stress may impact financial decisions, mainly in the loss domain. We contribute to the literature studying this issue in real financial markets, as the real markets distinguish themselves from laboratory experiments through repeated situations, aggregation of outcomes and extremely high monetary stakes. We use data on traffic congestion, weather conditions and derivative prices. Our main dependent variable is the slope of the implied volatility function (IVF) of options on RTS futures (cf. Bollen and Whaley, 2004) at the left-hand side of the volatility smile. We find that, controlling for relevant factors, this slope at open of the main trading session is higher subsequent to morning traffic jams, suggesting that investors under stress assign higher weights to extreme loss scenarios.
JEL: 
G02
G13
G14
Dokumentart: 
Conference Paper

Datei(en):
Datei
Größe





Publikationen in EconStor sind urheberrechtlich geschützt.