The Greek implied volatility index: construction and properties
Author: Skiadopoulos, George
Source: Applied Financial Economics, Volume 14, Number 16, November 1, 2004 , pp. 1187-1196(10)
Abstract:There is a growing literature on implied volatility indices in developed markets. However, no similar research has been conducted in the context of emerging markets. In this paper, an implied volatility index (GVIX) is constructed for the fast developing Greek derivatives market. Next, the properties of GVIX are explored. In line with earlier results, GVIX can be interpreted as a gauge of the investor's sentiment. In addition, it is found that the underlying stock market can forecast the future movements of GVIX. However, the reverse relationship does not hold. Finally, a contemporaneous spillover between GVIX and the US volatility indices VXO and VXN is detected. The results have implications for portfolio management.
Document Type: Research Article
Publication date: November 1, 2004