The Greek Implied Volatility Index: Construction and Properties

25 Pages Posted: 25 Mar 2004

See all articles by George S. Skiadopoulos

George S. Skiadopoulos

University of Piraeus, Department of Banking and Financial Management; Queen Mary, University of London, School of Economics and Finance

Date Written: January 5, 2003

Abstract

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.

Keywords: Granger causality tests, implied volatility indices, implied volatility spillover, volatility derivatives

JEL Classification: G10, G11, G13, G15

Suggested Citation

Skiadopoulos, George and Skiadopoulos, George, The Greek Implied Volatility Index: Construction and Properties (January 5, 2003). Available at SSRN: https://ssrn.com/abstract=490522 or http://dx.doi.org/10.2139/ssrn.490522

George Skiadopoulos (Contact Author)

Queen Mary, University of London, School of Economics and Finance

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University of Piraeus, Department of Banking and Financial Management ( email )

80 Karaoli & Dimitriou Str.
18534 Piraeus, 185 34 -GR
Greece

HOME PAGE: http://https://sites.google.com/view/george-skiadopoulos

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