Pregled bibliografske jedinice broj: 1215992
Effects of Implied Volatility Indices on CESEE Stock Markets: Exploratory Analysis
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.)., 2022. str. 138-168 doi:10.4018/978-1-6684-5528-9
CROSBI ID: 1215992 Za ispravke kontaktirajte CROSBI podršku putem web obrasca
Naslov
Effects of Implied Volatility Indices on CESEE Stock
Markets: Exploratory Analysis
(Effects of Implied Volatility Indices on CESEE
Stock Markets: Exploratory Analysis)
Autori
Škrinjarić, Tihana
Vrsta, podvrsta i kategorija rada
Poglavlja u knjigama, znanstveni
Knjiga
Handbook of Research on Stock Market Investment Practices and Portfolio Management
Urednik/ci
Sharma, Ranuka ; Mehta, Kiran
Izdavač
IGI Global
Godina
2022
Raspon stranica
138-168
ISBN
9781668455302
Ključne riječi
VIX, CESEE markets, return, risk, volatility
Sažetak
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.
Izvorni jezik
Engleski
Znanstvena područja
Matematika, Ekonomija
