Effects of Implied Volatility Indices on CESEE Stock Markets: Exploratory Analysis (CROSBI ID 73967)
Prilog u knjizi | izvorni znanstveni rad | međunarodna recenzija
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