The Greek Implied Volatility Index: Construction and Properties
George S. Skiadopoulos
University of Piraeus; University of Warwick - Warwick Business School - Financial Options Research Centre; City University - Faculty of Finance - Cass Business School
January 5, 2003
There is a growing literature on implied volatility indices in developed markets. However, no research has been conducted in the context of emerging markets. In this paper, an implied volatility index (GVIX) is constructed for the fast developing Greek derivatives market. Next, the properties of GVIX are explored. In line with earlier results, GVIX can be interpreted as a gauge of the investor's sentiment. In addition, we find that the underlying market can forecast the future movements of GVIX. However, the reverse relationship does not hold. Finally, a contemporaneous spillover between GVIX, and the US volatility indices VXO and VXN is detected.
Number of Pages in PDF File: 25
Keywords: Granger causality tests, implied volatility indices, implied volatility spillover, volatility derivatives
JEL Classification: G10, G11, G13, G15working papers series
Date posted: March 25, 2004
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