کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
7342020 | 1476190 | 2015 | 9 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
The implied volatility index: Is 'investor fear gauge' or 'forward-looking'?
ترجمه فارسی عنوان
شاخص نوسانات ضمنی: آیا "سرمایه گذار ترس سنج" یا "پیش بینی به دنبال" است؟
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کلمات کلیدی
موضوعات مرتبط
علوم انسانی و اجتماعی
اقتصاد، اقتصادسنجی و امور مالی
اقتصاد و اقتصادسنجی
چکیده انگلیسی
The paper aims to examine implied volatility as the investor fear gauge or/and forward-looking expectation of future stock market volatility within emerging markets setting-India VIX. The earliest results evidenced that VIX is the gauge of investor fear, where in the expected stock market volatility rises when the given market is declined. It is also proven that expected volatility is being unbiased estimate of the actual return volatility (30-calendar days); hence, during the market turmoil VIX likely to be biased. Lastly, it is suggested that the nervousness of investor yields potential profit to the options seller (market crises). Thus, our research has practical implications for various reasons, such as, portfolio risk management, stock market volatility forecast, and options pricing.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Borsa Istanbul Review - Volume 15, Issue 1, March 2015, Pages 44-52
Journal: Borsa Istanbul Review - Volume 15, Issue 1, March 2015, Pages 44-52
نویسندگان
Imlak Shaikh, Puja Padhi,