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The particular study is the first academic attempt to review a new financial instrument, the covered warrants, which were listed for trading in the Athens Exchange within the framework of the recapitalization of the three systematic Greek banks (Alpha Bank, National Bank of Greece and Piraeus...
Persistent link: https://www.econbiz.de/10013025840
This study examines whether VIX futures prices are unbiased and efficient predictors of the VIX index. The particular empirical analysis differs from the usually applied tests in that it uses a panel estimation approach. Panel regression has several advantages as it offers more flexibility in...
Persistent link: https://www.econbiz.de/10013110148
The FTSE 100 Volatility Index (VFTSE) reflects the market expectations of the future monthly volatility of the UK benchmark equity index, FTSE100. VFTSE is calculated using the model-free methodology that involves option prices summations and is independent from the Black and Scholes pricing...
Persistent link: https://www.econbiz.de/10012715600
In this paper a new measure of Greek stock market volatility based on the prices of FTSE/ATHEX-20 index options is proposed. Greek Implied Volatility Index is calculated using the model-free methodology that involves option prices summations and is independent from the Black and Scholes pricing...
Persistent link: https://www.econbiz.de/10012715601
This study tests and documents the information content of all publicly available implied volatility indices regarding both the realized volatility and the returns of the underlying asset. These topics present a path traveled by earlier work, but there are gains in studying together all 50...
Persistent link: https://www.econbiz.de/10012857643
This paper examines the relationship between daily price variability and trading activity dynamics six months before and after the redesign of FTSE/ATHEX Large Cap futures contract in June 2016. Although contract and tick size is a critical factor for the viability of a futures market, there has...
Persistent link: https://www.econbiz.de/10012953866
Volatility has emerged as an important distinct asset class over the past decade. The popularity of volatility stems from its unique properties, namely its negative correlation with equity returns and its usefulness as insurance against tail risk. Trading applications of volatility-related...
Persistent link: https://www.econbiz.de/10013040045
The current paper tests and documents the relationship between the term structure of VIX futures and the underlying equity returns. Furthermore, it investigates the signaling effects of VIX futures term structure in respect to future stock index movements. The objective of this empirical...
Persistent link: https://www.econbiz.de/10012982778