Klaus Buhr

Doctor of Philosophy, (Finance)
Study Completed: 2010
Massey Business School


Thesis Title
Volatility, Price-Discovery and Trading Volume in an Australian Equity Index and Option Markets

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Mr. Buhr’s research investigates how investor’s assessment of risk contributes to identifying the primary way price innovations occur between the Australian Equity Indices and Options. The measurement of risk is important when accurately pricing equity options, with conditional risk models found to produce the most accurate and robust risk measurement forecasts in the short term. Traders need to know what effects prices of share price indices or index options when investigating possible investments. Unambiguous evidence indicates the index market leads the option market, so the former contributes more to determine accurate prices than the latter allowing investors to make better sell or buy decisions. Finally, the research examines the role of options volume in predicting price risk in index options and reports that price risk can be used with confidence to predict options turnover. The results of the dissertation are of interest to individuals and institutional traders when they make buy and sell decisions. Ultimately, dependable prices allow markets to operate effectively giving policy makers and small investor’s confidence that market prices are fair.

Professor Lawrence Rose
Professor Xiaoming Li

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