Relationship of the change in implied volatility with the underlying equity index return in Thailand

Supachock Thakolsri, Yuthana Sethapramote and Komain Jiranyakul

MPRA Paper from University Library of Munich, Germany

Abstract: The main purpose of this study is to examine the relationship between the change in implied volatility index and the underlying stock index return. The dataset used in this study is from 11/19/2010 to 12/27/2013. The regression analysis is performed on stationary series. The empirical results reveal that there is evidence of a significantly negative and asymmetric relationship between the return and the change in implied volatility in the Thai stock market. The finding in this study gives implication for risk management.

Keywords: Equity index return; implied volatility; asymmetric effect (search for similar items in EconPapers)
JEL-codes: C22 G15 (search for similar items in EconPapers)
Date: 2015-11
New Economics Papers: this item is included in nep-sea
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https://mpra.ub.uni-muenchen.de/67986/1/MPRA_paper_67986.pdf original version (application/pdf)
https://mpra.ub.uni-muenchen.de/71971/9/MPRA_paper_71971.pdf revised version (application/pdf)

Related works:
Journal Article: Relationship of the Change in Implied Volatility with the Underlying Equity Index Return in Thailand (2016)
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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:67986

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