کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
11023374 1701298 2018 39 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Implied volatility indices: A review and extension in the Turkish case
ترجمه فارسی عنوان
شاخص های نوسان ناخواسته: بررسی و گسترش در مورد ترکیه
موضوعات مرتبط
علوم انسانی و اجتماعی اقتصاد، اقتصادسنجی و امور مالی اقتصاد و اقتصادسنجی
چکیده انگلیسی
We re-visit the model-free methodology of the new VIX, and review how its counterparts are estimated empirically across the world. Then, we modify its parameter selection procedure for it to be compatible with the microstructure characteristics of emerging derivatives markets. Applying this approach on Turkish market data, we introduce VBI; the implied volatility index of Borsa Istanbul. Accordingly, (i) VBI is a strong predictor of the future realized volatility, (ii) it is significantly correlated with Turkey's own financial indicators, but not with many global financial indicators, (iii) there is an implied volatility spillover from US equity market to Borsa Istanbul, but not the other way around.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: International Review of Financial Analysis - Volume 60, November 2018, Pages 151-161
نویسندگان
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