The implied volatility index: Is ‘investor fear gauge’ or ‘forward-looking’?
The paper aims to examine implied volatility as the investor fear gauge or/and forward-looking expectation of future stock market volatility within emerging markets setting-India VIX. The earliest results evidenced that VIX is the gauge of investor fear, where in the expected stock market volatility...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
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Elsevier
2015-03-01
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| Series: | Borsa Istanbul Review |
| Subjects: | |
| Online Access: | http://www.sciencedirect.com/science/article/pii/S2214845014000416 |
| _version_ | 1797998139387412480 |
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| author | Imlak Shaikh Puja Padhi |
| author_facet | Imlak Shaikh Puja Padhi |
| author_sort | Imlak Shaikh |
| collection | DOAJ |
| description | The paper aims to examine implied volatility as the investor fear gauge or/and forward-looking expectation of future stock market volatility within emerging markets setting-India VIX. The earliest results evidenced that VIX is the gauge of investor fear, where in the expected stock market volatility rises when the given market is declined. It is also proven that expected volatility is being unbiased estimate of the actual return volatility (30-calendar days); hence, during the market turmoil VIX likely to be biased. Lastly, it is suggested that the nervousness of investor yields potential profit to the options seller (market crises). Thus, our research has practical implications for various reasons, such as, portfolio risk management, stock market volatility forecast, and options pricing. |
| first_indexed | 2024-04-11T10:43:51Z |
| format | Article |
| id | doaj.art-dccef504e7114fbfb1e43c2f35382863 |
| institution | Directory Open Access Journal |
| issn | 2214-8450 |
| language | English |
| last_indexed | 2024-04-11T10:43:51Z |
| publishDate | 2015-03-01 |
| publisher | Elsevier |
| record_format | Article |
| series | Borsa Istanbul Review |
| spelling | doaj.art-dccef504e7114fbfb1e43c2f353828632022-12-22T04:29:06ZengElsevierBorsa Istanbul Review2214-84502015-03-01151445210.1016/j.bir.2014.10.001The implied volatility index: Is ‘investor fear gauge’ or ‘forward-looking’?Imlak Shaikh0Puja Padhi1Department of Management, Birla Institute of Technology & Science, BITS Pilani, Pilani, Rajasthan 333 031, IndiaDepartment of Humanities and Social Sciences, Indian Institute of Technology Bombay, Mumbai 400 076, IndiaThe paper aims to examine implied volatility as the investor fear gauge or/and forward-looking expectation of future stock market volatility within emerging markets setting-India VIX. The earliest results evidenced that VIX is the gauge of investor fear, where in the expected stock market volatility rises when the given market is declined. It is also proven that expected volatility is being unbiased estimate of the actual return volatility (30-calendar days); hence, during the market turmoil VIX likely to be biased. Lastly, it is suggested that the nervousness of investor yields potential profit to the options seller (market crises). Thus, our research has practical implications for various reasons, such as, portfolio risk management, stock market volatility forecast, and options pricing.http://www.sciencedirect.com/science/article/pii/S2214845014000416Implied volatility indexInvestor sentimentFearForward-lookingIndia VIX |
| spellingShingle | Imlak Shaikh Puja Padhi The implied volatility index: Is ‘investor fear gauge’ or ‘forward-looking’? Borsa Istanbul Review Implied volatility index Investor sentiment Fear Forward-looking India VIX |
| title | The implied volatility index: Is ‘investor fear gauge’ or ‘forward-looking’? |
| title_full | The implied volatility index: Is ‘investor fear gauge’ or ‘forward-looking’? |
| title_fullStr | The implied volatility index: Is ‘investor fear gauge’ or ‘forward-looking’? |
| title_full_unstemmed | The implied volatility index: Is ‘investor fear gauge’ or ‘forward-looking’? |
| title_short | The implied volatility index: Is ‘investor fear gauge’ or ‘forward-looking’? |
| title_sort | implied volatility index is investor fear gauge or forward looking |
| topic | Implied volatility index Investor sentiment Fear Forward-looking India VIX |
| url | http://www.sciencedirect.com/science/article/pii/S2214845014000416 |
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