Regarding these two issues, we obtain the following results. First, we report strong negative skewness in the risk-neutral density, which indicates that the probability of a large decrease in stock prices exceeds the probability of a large increase. In the literature on US equity derivatives, this finding has been termed “crashophobia”. Our second result is that the implied volatility of the US stock market has the strongest effect on changes in the DAX RNDs. Therefore the expectation about future stock market movements is less influenced by economic activity in Germany, but more by perceptions about the variability of US stock prices. We also document that .
