An Investor Sentiment Barometer - Greek Implied Volatility Index

30 Pages Posted: 29 Nov 2008 Last revised: 22 Jul 2010

See all articles by Costas Siriopoulos

Costas Siriopoulos

Zayed University, College of Business; University of Patras - Business Administration

Athanasios Fassas

University of Thessaly; Hellenic Open University

Date Written: November 26, 2008

Abstract

In this paper a new measure of Greek stock market volatility based on the prices of FTSE/ATHEX-20 index options is proposed. Greek Implied Volatility Index is calculated using the model-free methodology that involves option prices summations and is independent from the Black and Scholes pricing formula. The specific method is applied for the first time in a peripheral and illiquid market as the Athens Exchange.

The empirical findings of this paper show that the proposed volatility index includes information about future realized volatility beyond that contained in past volatility and in addition, show that there is a statistically significant negative and asymmetric contemporaneous relationship between the returns of the implied volatility index and the underlying equity index. Finally, the volatility transmission effects on the Greek stock exchange from two leading markets, namely the New York Stock Exchange and the Deutsche Börse, are tested and documented.

Keywords: Implied volatility indices, Athens Stock Exchange, VIX, VDAX

JEL Classification: G13, G14, G15, C53

Suggested Citation

Siriopoulos, Costas and Fassas, Athanasios, An Investor Sentiment Barometer - Greek Implied Volatility Index (November 26, 2008). Available at SSRN: https://ssrn.com/abstract=1307680 or http://dx.doi.org/10.2139/ssrn.1307680

Costas Siriopoulos (Contact Author)

Zayed University, College of Business ( email )

P.O. Box 144534
Abu Dhabi
United Arab Emirates

University of Patras - Business Administration ( email )

Patras
Greece

Athanasios Fassas

University of Thessaly ( email )

Argonafton & Filellinon
38221 Volos, 41110
United States

Hellenic Open University ( email )

Parodos Aristotelous 18
Patra, 26335
Greece

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