Implied volatility transmissions between Thai and selected advanced stock markets

Supachok Thakolsri, Yuthana Sethapramote and Komain Jiranyakul

MPRA Paper from University Library of Munich, Germany

Abstract: This paper investigates the impacts of changes in the U. S. implied volatility on the changes in implied volatilities of the Euro and Thai stock markets. For that purpose, volatilities implicit in stock index option prices from the U. S., Euro and Thai stock markets are analyzed using the standard Granger causality test, impulse response analysis, and variance decompositions. The results found in this study suggest that the U. S. stock market is the leading source of volatility transmissions since the changes in implied volatility in the U. S. stock market are transmitted to the Euro and Thai stock markets.

Keywords: Stock index option prices; implied volatility; causality; impulse response functions; variance decompositions (search for similar items in EconPapers)
JEL-codes: C22 G15 (search for similar items in EconPapers)
Date: 2015-08
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
https://mpra.ub.uni-muenchen.de/65901/1/MPRA_paper_65901.pdf original version (application/pdf)

Related works:
Journal Article: Implied Volatility Transmissions Between Thai and Selected Advanced Stock Markets (2016)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:65901

Access Statistics for this paper

More papers in MPRA Paper from University Library of Munich, Germany Ludwigstraße 33, D-80539 Munich, Germany. Contact information at EDIRC.
Bibliographic data for series maintained by Joachim Winter ().