Impact of the Dynamics of Stock Price Cycle on the Sustainable Development of an Investment Portfolio

Rutkauskas, Aleksandras Vytautas; Lukasevicius, Alfredas; Salengaite, Julija

doi:10.3846/btp.2013.30

Cited by 1 publication

(1 citation statement)

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“…Moreover, recent studies (e.g. Žilinskij, Rutkauskas 2012;Lukaševičius et al 2013;Evrim Mandaci et al 2013;Stádník 2013;Vilkancas 2014;Shaikh, Padhi 2014a, 2014b, 2014c deal on the firm's performance and potential return on investment; dynamics of stock price cycle; determinants of stock market dynamics in advanced and emerging economics; random walk and stock prices; portfolio optimization with respect to omega function; volatility index and forecasting performance of emerging market's volatility index. The studies are in association with the various issues on the stock market development and portfolio optimization, our study identifies the gap on the emerging market volatility index in terms of behavior of volatility index as the expected volatility of the future stock market realized volatility.…”

Section: Introductionmentioning

confidence: 99%

The Behavior of Option’s Implied Volatility Index: a Case of India VIX

Shaikh

Padhi

2015

Business: Theory and Practice

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The aim of this paper is to investigate the behavior of implied volatility in the form of day-of-the-week, year-of-the-month and surround the expiration of options. The persistence of volatility is modeled in ARCH/GARCH type framework. The empirical results have shown significant effects of the day-of-the-week, month-of-the-year and day of options expiration. The positive significant Monday effect explains that India VIX rises significantly on the initial days of the market opening, and the significant negative Wednesday effect shows that expected stock market volatility fall through Wednesday-Friday. Moreover, the study reveals the fact on options expiration, the evidence shows that India VIX fall significantly on the day of expiration of European call and put options. The March and December months have reported significant negative impact on the volatility index. Certainly, this kind of results holds practical implication for volatility traders, and helps to the market participant in hedging and pricing of options.

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