Co-movement of volatility risk premium: evidence from single stock options market in India

Prasenjit Chakrabarti

Applied Economics Letters, 2021, vol. 28, issue 14, 1181-1186

Abstract: This study investigates the existence of commonality of volatility risk premium in the index and individual stock options. Using data from the National Stock Exchange (NSE) India, the study finds that the commonality relationship is both economically and statistically significant. The commonality relationship is robust, even after including the market-specific and stock-specific factors.

Date: 2021
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DOI: 10.1080/13504851.2020.1803485

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