Shaikh, Imlak; Padhi, Puja - In: Journal of Economic Studies 43 (2016) 1, pp. 27-47
Purpose – The purpose of this paper is to analyze the asymmetric contemporaneous relationship between implied volatility index (India VIX) and Equity Index (S & P CNX Nifty Index). In addition, the study also analyzes the seasonality of implied volatility index in the form of day-of-the-week...