Artikel
Does behavioural theory explain return-implied volatility relationship? Evidence from India
The study investigates whether behavioural theory is a superior explanation for short-term return-volatility relationship than traditional leverage and volatility feedback hypotheses. Using VAR and quantile regression frameworks, the study shows that behavioural theory explains the relationship better than the leverage and feedback hypotheses. The study supports that behavioural biases (representative, affect, extrapolation heuristics, etc.) exist among market participants, and these biases cause India Volatility Index (India VIX) to be an efficient hedge for extreme negative market movements.
- Language
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Englisch
- Bibliographic citation
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Journal: Cogent Economics & Finance ; ISSN: 2332-2039 ; Volume: 5 ; Year: 2017 ; Issue: 1 ; Pages: 1-16 ; Abingdon: Taylor & Francis
- Classification
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Wirtschaft
Asset Pricing; Trading Volume; Bond Interest Rates
Contingent Pricing; Futures Pricing; option pricing
Financial Forecasting and Simulation
- Subject
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return-volatility relation
leverage hypothesis
volatility feedback hypothesis
affect heuristics
representative bias
extrapolation bias
- Event
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Geistige Schöpfung
- (who)
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Chakrabarti, Prasenjit
Kumar, K. Kiran
- Event
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Veröffentlichung
- (who)
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Taylor & Francis
- (where)
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Abingdon
- (when)
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2017
- DOI
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doi:10.1080/23322039.2017.1355521
- Handle
- Last update
- 10.03.2025, 11:43 AM CET
Data provider
This object is provided by:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Artikel
Associated
- Chakrabarti, Prasenjit
- Kumar, K. Kiran
- Taylor & Francis
Time of origin
- 2017
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