An investor sentiment barometer — Greek Implied Volatility Index (GRIV)

Costas Siriopoulos () and Athanasios Fassas

Global Finance Journal, 2012, vol. 23, issue 2, 77-93

Abstract: In this paper, we propose a new measure of Greek equity market volatility based on the prices of FTSE/ATHEX-20 index options. Greek Implied Volatility Index is calculated using the model-free methodology that involves option prices summations and is independent from the Black and Scholes pricing formula. The specific method is applied for the first time in a peripheral and illiquid market as the Athens Exchange.

Keywords: Implied volatility indices; Athens Stock Exchange; VIX; VDAX (search for similar items in EconPapers)
JEL-codes: C53 G13 G14 G15 (search for similar items in EconPapers)
Date: 2012
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Citations: View citations in EconPapers (21)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:glofin:v:23:y:2012:i:2:p:77-93

DOI: 10.1016/j.gfj.2012.03.001

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