Intertemporal relations between the market volatility index and stock index returns

The volatility index is the measure of 30-day expected volatility. Its association with stock index returns provides an insight to the volatility traders to launch derivatives products so that it can be used as a hedging tool. The aim of the present study is to empirically examine the relationship between the implied volatility indices and its underlying asset in context of developed and developing markets (like U.S., Japan, Germany, and China). The empirical findings report the asymmetric behaviour which indicates that a larger impact on implied volatility indices are from negative return shocks as compared to positive returns. This evinced that the investors and traders respond highly to negative returns in low volatile period by demanding more options at high premium which makes the implied volatility high. Therefore, the negative relationship between IVIX and stock index returns makes the index relevant for investors to diversifying their portfolio so that they can mitigate the investment risk associated with the volatility.

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Chaotic Processes of Common Stock Index Returns: An Empirical Examination on Istanbul Stock Exchange (ISE) Market

SSRN Electronic Journal ◽

10.2139/ssrn.1617929 ◽

2010 ◽

Cited By ~ 1

Author(s):

GGkhan zer ◽

Cengiz Tansel Ertokatll

Keyword(s):

Stock Exchange ◽

Stock Index ◽

Common Stock ◽

Empirical Examination ◽

Istanbul Stock Exchange ◽

Stock Index Returns

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Stock Index Futures Trading and Spot Market Volatility

SSRN Electronic Journal ◽

10.2139/ssrn.890261 ◽

2006 ◽

Author(s):

George Karathanassis ◽

Vasilios I. Sogiakas

Keyword(s):

Spot Market ◽

Market Volatility ◽

Stock Index ◽

Stock Index Futures ◽

Futures Trading ◽

Index Futures

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Examining Contemporaneous Relationship between Return of Nifty Index and India VIX

International Journal of Financial Management ◽

10.21863/ijfm/2015.5.2.011 ◽

2015 ◽

Vol 5 (2) ◽

Author(s):

Prasenjit Chakrabarti

Keyword(s):

Implied Volatility ◽

Stock Index ◽

Quadratic Effect ◽

Asymmetric Building ◽

Volatility Index ◽

India Vix ◽

The Relationship

The study examines the contemporaneous relationship between Nifty returns and India VIX returns. Literature documents that the relationship between them is negative and asymmetric. Building on this, the study considers the linear and quadratic effect of stock index return (CNX Nifty) and examines the changes in implied volatility index (India VIX). The study finds both linear and quadratic CNX Nifty index returns are significant for changes in the level of India VIX. Findings suggest that India VIX provides insurance both for downside market movement and size of the downside movement.

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Universal Fluctuations of the S&100 Stock Index Returns

10.1063/1.3241651 ◽

2009 ◽

Author(s):

Rui Gonçalves ◽

Alberto Pinto ◽

Theodore E. Simos ◽

George Psihoyios ◽

Ch. Tsitouras

Keyword(s):

Stock Index ◽

S 100 ◽

Stock Index Returns

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Creating Value in Small-cap Firms by Mitigating Risks of Market Volatility

Vision The Journal of Business Perspective ◽

10.1177/0972262917733166 ◽

2017 ◽

Vol 21 (4) ◽

pp. 350-355 ◽

Cited By ~ 7

Author(s):

Sayantan Khanra ◽

Sanjay Dhir

Keyword(s):

Stock Exchange ◽

Emerging Market ◽

Market Volatility ◽

Emerging Market Economies ◽

Financial Returns ◽

Market Economies ◽

Volatility Index

Extant research has explored numerous ideal approaches to predict and anticipate the unpredictability in stocks to mitigate business risks. This article attempts to offer an important insight on creating values in terms of financial returns dodging the risks associated with the market volatility in emerging market economies by exploring the context of National Stock Exchange (NSE), India. The study establishes that Small-cap companies, which are included in NSE Small 100 index, are less inclined to be impacted by the market volatility index (NVIX) compared to the Large-cap companies and Mid-cap companies that are under respective Broad Market Indices. Furthermore, this article examines 64 Small-cap companies, belonging to nine different sectors, to investigate the sector-wise impact of market volatility on Small-cap businesses in India.

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