Search results for "Volatility index"
showing 2 items of 2 documents
SEA presidential address: Group connectivity and cooperation
2011
A model-free methodology is used for the first time to estimate a daily volatility index (VIBEX-NEW) for the Spanish financial market.We use a public data set of daily option prices to compute this index and showthat daily changes in VIBEXNEW display a negative, tight contemporaneous relationship with IBEX daily returns, contrary to other common volatility indicators, as an implied volatility indicator or a GARCH(1,1) conditional volatility model. This relationship is approximately symmetric to the sign on VIBEX-NEW changes and asymmetric to the IBEX-35 returns sign, which make it clearly a suitable volatility index for the Spanish stock market. We also examine the relationship between curr…
The Interactions between COVID-19 Cases in the USA, the VIX Index and Major Stock Markets
2021
With this study, we aimed to determine (1) the effect of the daily new cases and deaths due to the COVID-19 pandemic in the United States on the CBOE volatility index (VIX index) and (2) the effect of the VIX index on the major stock markets during the early stage of the pandemic period. To do this, we collected and analysed the daily new cases and death numbers during the COVID-19 pandemic period in the United States and the country indexes of the USA (DJI), Germany (DAX), France (CAC40), England (FTSE100), Italy (MIB), China (SSEC) and Japan (Nikkei225) to determine the impact of the VIX index on the major stock markets. We then subjected this data to the Johansen co-integration test and …