The Implied Volatility of Australian Index Options

Dowling, Sean; Muthuswamy, Jayaram

doi:10.2139/ssrn.500165

Cited by 24 publications

(36 citation statements)

References 39 publications

Supporting

Mentioning

Contrasting

Unclassified

Order By: Relevance

“…However, this result is contradictory to the one found on the German market ( parameter is negative and statistically significant). This finding is in harmony with that found by the study of Dowling and Muthuswamy (2005) for the Australian market. Thus the hypothesis H4 is valid unless for the German market.…”

Section: Implied Volatility Indices and The Underlying Stock Returnssupporting

confidence: 91%

“…Indeed, it showed that this asymmetric relationship intuitively depends on the considered period: it is much more important for a bull market than a bear one. In the same vein, Dowling and Muthuswamy (2005) and considering the Australian market, they showed that the volatility index AVIX variations induce a negative impact on returns of the S & P / ASX 200. No evidence of an asymmetric effect was found in this case.…”

Section: Literature Reviewmentioning

confidence: 89%

“…In the same vein, a study conducted in the US market by Dowling and Muthuswamy (2005) calculated implied volatility index AVIX using the same methodology that VIX-New. They found that the AVIX index represents a poor estimator of future volatility relative to those from autoregressive models.…”

Section: Literature Reviewmentioning

confidence: 99%

See 2 more Smart Citations

Dynamics of the Relationship between Implied Volatility Indices and Stock Prices Indices: The Case of European Stock Markets

Emna

Myriam

2017

Asian Economic and Financial Review

View full text Add to dashboard Cite

show abstract

Section: Implied Volatility Indices and The Underlying Stock Returnssupporting

confidence: 91%

Section: Literature Reviewmentioning

confidence: 89%

See 1 more Smart Citation

Dynamics of the Relationship between Implied Volatility Indices and Stock Prices Indices: The Case of European Stock Markets

Emna

Myriam

2017

Asian Economic and Financial Review

View full text Add to dashboard Cite

show abstract

“…In addition, they observe that the information extracted from S&P 500 index options and the information recovered from VIX options significantly improve all the prediction on the S&P 500 index. The studies of Frijns et al (2010) and Dowling and Muthuswamy (2005) on the Australian stock market based on implied volatility index show that the implied volatility indices contain information about both stock market return and future volatility.…”

Section: Introductionmentioning

confidence: 99%

The information content of implied volatility index (India VIX)

Shaikh

Padhi

2013

Glob Bus Perspect

View full text Add to dashboard Cite

This paper examines the predictive ability of India VIX as the best forecast of realized return volatility. This study takes into account the implied volatility index (India VIX), also known as the investors fear gauge index. We have employed OLS, 2SLS procedure and quantile regression to study the predictive power of implied volatility index. Empirical results show that India VIX is the best estimate of future realized return volatility. The Hausman specification test analyzes that implied volatility is measured with the errors; consequently, instrumental variable technique is used. The 2SLS estimation procedure shows that 2SLS estimates are more consistent than the simple OLS. Finally, the 2SLS procedure explains that historical volatility does not contain valuable information what already contained in the implied volatility. The implied volatility best subsumes the marketwide information to explain the future volatility. This study explains that Asian implied volatility indices also subsumes the information regarding the future volatility like the US and European volatility indices.

show abstract

“…6 Whaley (2000) examines VXO. 7 Elsewhere, lack of the asymmetry in association between implied volatility and stock returns was reported for Canadian (Siriopoulos and Fassas, 2008) and Australian indices (Frijns et al, 2010;Dowling and Muthuswamy, 2005). Strong asymmetric association was reported for Korean (Ting, 2007) and Indian (Kumar, 2012) indices.…”

Section: Association Of Returns and Implied Volatilitymentioning

confidence: 99%

European ‘Fear’ Indices – Evidence before and during the Financial Crisis

Aussenegg

Götz²,

Jelic

2013

SSRN Journal

View full text Add to dashboard Cite

We document a negative and asymmetric contemporaneous relation of European stock and implied volatility returns. The negative relation is significantly more pronounced at the highest quantile of the stock market return distribution (i.e. largest price decrease). The relation between stock returns and implied volatility exhibits differences consistent with European institutional and cultural clusters. For example, German stock market tends to be more responsive to changes in implied volatility compared to UK stock market. In addition, the volatility spread for these two markets persist for a longer period compared to other European volatility spreads. The degree of integration between the leading European (UK, Germany and France) volatility markets, however, is very high and shocks on the implied volatility spread die out within a few days. Our Markov switching model distinguishes three volatility regimes.Large changes in both, implied volatility and stock returns increase the probability that volatility enters a higher (from low to middle and from middle to high) volatility regime. Factor loadings obtained by principal component analysis (PCA) of volatility returns are also regime dependent. Compared to US, the changes in European implied volatility tend to be more driven by tilts and non-linear movements of the volatility term structure. Our findings lend support to the behavioral explanation of the stock return-implied volatility relation and have implications for risk management.JEL classification: C32, G13, G15

show abstract

The Implied Volatility of Australian Index Options

Cited by 24 publications

References 39 publications

Dynamics of the Relationship between Implied Volatility Indices and Stock Prices Indices: The Case of European Stock Markets

Dynamics of the Relationship between Implied Volatility Indices and Stock Prices Indices: The Case of European Stock Markets

The information content of implied volatility index (India VIX)

European ‘Fear’ Indices – Evidence before and during the Financial Crisis

Contact Info

Product

Resources

About