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Effects of Implied Volatility Indices on CESEE Stock Markets: Exploratory Analysis (CROSBI ID 73967)

Prilog u knjizi | izvorni znanstveni rad | međunarodna recenzija

Škrinjarić, Tihana Effects of Implied Volatility Indices on CESEE Stock Markets: Exploratory Analysis // Handbook of Research on Stock Market Investment Practices and Portfolio Management / Sharma, Ranuka ; Mehta, Kiran (ur.).: IGI Global, 2022. str. 138-168 doi: 10.4018/978-1-6684-5528-9

Podaci o odgovornosti

Škrinjarić, Tihana

engleski

Effects of Implied Volatility Indices on CESEE Stock Markets: Exploratory Analysis

This chapter analyzes several model specifications of the asymmetric relationship between the implied volatility index (VIX) and return series for the CESEE (Central-Eastern and South-Eastern European) stock markets. Several different country-origin VIX indices are examined (US, emerging markets, Russian, and EU) to analyze which one has the best forecasting ability of the return series. Based on daily data analysis and six different model specifications, resulting in 240 models in total, asymmetric and non-linear relationships were found between the selected VIX and return series. As the results differ over all stock market return series, international investors are advised to consider such results when making decisions about their portfolio selection.

VIX, CESEE markets, return, risk, volatility

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Podaci o prilogu

138-168.

objavljeno

10.4018/978-1-6684-5528-9

Podaci o knjizi

Handbook of Research on Stock Market Investment Practices and Portfolio Management

Sharma, Ranuka ; Mehta, Kiran

IGI Global

2022.

9781668455302

Povezanost rada

Ekonomija, Matematika

Poveznice