An investor sentiment barometer - Greek Implied Volatility Index (GRIV)

The empirical findings of this paper show that the proposed volatility index includes information about future realized volatility beyond that contained in past volatility. In addition, our analysis indicates that there is a statistically significant negative and asymmetric contemporaneous relationship between the returns of the implied volatility index and the underlying equity index. Finally, the volatility transmission effects on the Greek stock exchange from two leading markets, namely the New York Stock Exchange and the Deutsche Börse, are tested and documented.