RELATIONSHIP OF THE CHANGE IN IMPLIED VOLATILITY WITH THE UNDERLYING EQUITY INDEX RETURN IN THAILAND
In this study, we examine the relationship between the change in implied volatility index and the underlying stock index return in the Thai stock market. The data used are daily data during November 2010 to December 2013. The regression analysis is performed on stationary series. The empirical resul...
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| Veröffentlicht in: | The Economic Research Guardian 2016-07, Vol.6 (2), p.74 |
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| creator | Thakolsri, Supachok Sethapramote, Yuthana Jiranyakul, Komain |
| description | In this study, we examine the relationship between the change in implied volatility index and the underlying stock index return in the Thai stock market. The data used are daily data during November 2010 to December 2013. The regression analysis is performed on stationary series. The empirical results reveal that there is evidence of significantly negative and asymmetric relationship between the underlying stock index return and the change in implied volatility. In addition, the size effect of the underlying stock index return and the one-period lagged implied volatility change also affect the change in implied volatility. The finding in this study gives implication for risk management. |
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| ispartof | The Economic Research Guardian, 2016-07, Vol.6 (2), p.74 |
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| source | DOAJ Directory of Open Access Journals; Elektronische Zeitschriftenbibliothek - Frei zugängliche E-Journals |
| subjects | Equity Expected values Investments Regression analysis Securities markets Securities prices Standard deviation Stock exchanges Studies Volatility |
| title | RELATIONSHIP OF THE CHANGE IN IMPLIED VOLATILITY WITH THE UNDERLYING EQUITY INDEX RETURN IN THAILAND |
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