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.
- Sprache
-
Englisch
- Erschienen in
-
Journal: Cogent Economics & Finance ; ISSN: 2332-2039 ; Volume: 5 ; Year: 2017 ; Issue: 1 ; Pages: 1-16 ; Abingdon: Taylor & Francis
- Klassifikation
-
Wirtschaft
Asset Pricing; Trading Volume; Bond Interest Rates
Contingent Pricing; Futures Pricing; option pricing
Financial Forecasting and Simulation
- Thema
-
return-volatility relation
leverage hypothesis
volatility feedback hypothesis
affect heuristics
representative bias
extrapolation bias
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Chakrabarti, Prasenjit
Kumar, K. Kiran
- Ereignis
-
Veröffentlichung
- (wer)
-
Taylor & Francis
- (wo)
-
Abingdon
- (wann)
-
2017
- DOI
-
doi:10.1080/23322039.2017.1355521
- Handle
- Letzte Aktualisierung
- 10.03.2025, 11:43 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Artikel
Beteiligte
- Chakrabarti, Prasenjit
- Kumar, K. Kiran
- Taylor & Francis
Entstanden
- 2017
Ähnliche Objekte (12)
Stock returns and implied volatility: A new VAR approach
Stock returns and implied volatility: A new VAR approach
Stock returns and implied volatility : A new VAR approach
Stock returns and implied volatility : A new VAR approach
Stock Returns and Implied Volatility: A New VAR Approach
Implied volatility string dynamics
Implied Volatility String Dynamics
Forecasting the Variability of Stock Index Returns with Stochastic Volatility Models and Implied Volatility
Credit-Implied Forward Volatility and Volatility Expectations
Stock Implied Volatility, Stock Turnover, and the Stock-Bond Return Relation
Semiparametric modeling of implied volatility
Common functional implied volatility analysis
Stock returns and implied volatility: A new VAR approach
Stock returns and implied volatility: A new VAR approach
Stock returns and implied volatility : A new VAR approach
Stock returns and implied volatility : A new VAR approach
Stock Returns and Implied Volatility: A New VAR Approach
Implied volatility string dynamics
Implied Volatility String Dynamics
Forecasting the Variability of Stock Index Returns with Stochastic Volatility Models and Implied Volatility
Credit-Implied Forward Volatility and Volatility Expectations
Stock Implied Volatility, Stock Turnover, and the Stock-Bond Return Relation
Semiparametric modeling of implied volatility
Common functional implied volatility analysis
Stock returns and implied volatility: A new VAR approach
Stock returns and implied volatility: A new VAR approach
Stock returns and implied volatility : A new VAR approach
Stock returns and implied volatility : A new VAR approach
Stock Returns and Implied Volatility: A New VAR Approach
Implied volatility string dynamics
Implied Volatility String Dynamics
Forecasting the Variability of Stock Index Returns with Stochastic Volatility Models and Implied Volatility
Credit-Implied Forward Volatility and Volatility Expectations
Stock Implied Volatility, Stock Turnover, and the Stock-Bond Return Relation
Semiparametric modeling of implied volatility