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
Hauptverfasser:	Thakolsri, Supachok, Sethapramote, Yuthana, Jiranyakul, Komain
Format:	Artikel
Sprache:	eng
Schlagworte:	Equity Expected values Investments Regression analysis Securities markets Securities prices Standard deviation Stock exchanges Studies Volatility
Online-Zugang:	Volltext
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