An Investor Sentiment Barometer - Greek Implied Volatility Index
30 Pages Posted: 29 Nov 2008 Last revised: 22 Jul 2010
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: Suggested Citation
Do you have a job opening that you would like to promote on SSRN?
Recommended Papers
-
The Greek Implied Volatility Index: Construction and Properties
-
International Market Volatility Indexes: A Study on Vx1, Vdax and VIX
By Sofiane Aboura and Christophe Villa
-
The Information Content of Implied Volatility Indexes for Forecasting Volatility and Market Risk
By Pierre Giot
-
International Transmission of Volatility: A Study on the Volatility Indexes Vx1, Vdax and VIX
-
Local and Spillover Shocks in Implied Market Volatility: Evidence for the U.S. And Germany
By Alexander Szimayer and Niklas Wagner
-
International Transmission of Uncertainty Implicit in Stock Index Option Prices
By Petri Sahlström and Jussi Nikkinen
-
Implied Volatility Indices as Leading Indicators of Stock Index Returns?
By Pierre Giot
-
By Costas Milas and Ilias Lekkos
-
By Dajiang Guo