Implied volatility indices: a review and extension in the Turkish case

Simple item page
buir.contributor.authorŞensoy, Ahmet
dc.citation.epage161en_US
dc.citation.spage151en_US
dc.citation.volumeNumber60en_US
dc.contributor.authorŞensoy, Ahmeten_US
dc.contributor.authorOmole, J.en_US
dc.date.accessioned2019-02-21T16:01:38Z
dc.date.available2019-02-21T16:01:38Z
dc.date.issued2018-08-13en_US
dc.departmentDepartment of Managementen_US
dc.description.abstractWe re-visit the model-free methodology of the new VIX, and review how its counterparts are estimated empirically across the world. Then, we modify its parameter selection procedure for it to be compatible with the microstructure characteristics of emerging derivatives markets. Applying this approach on Turkish market data, we introduce VBI; the implied volatility index of Borsa Istanbul. Accordingly, (i) VBI is a strong predictor of the future realized volatility, (ii) it is significantly correlated with Turkey's own financial indicators, but not with many global financial indicators, (iii) there is an implied volatility spillover from US equity market to Borsa Istanbul, but not the other way around.
dc.embargo.release2020-11-01en_US
dc.identifier.doi10.1016/j.irfa.2018.08.006
dc.identifier.issn1057-5219
dc.identifier.urihttp://hdl.handle.net/11693/49890
dc.language.isoEnglish
dc.publisherElsevier
dc.relation.isversionofhttps://doi.org/10.1016/j.irfa.2018.08.006
dc.source.titleInternational Review of Financial Analysisen_US
dc.subjectEmerging marketsen_US
dc.subjectImplied volatilityen_US
dc.subjectMarket microstructureen_US
dc.subjectOptions marketen_US
dc.subjectVIXen_US
dc.titleImplied volatility indices: a review and extension in the Turkish caseen_US
dc.typeArticleen_US
Files
Original bundle
Now showing 1 - 1 of 1
Thumbnail Image
Name:
Implied_volatility_indices_a_review_and_extension_in_the_Turkish_case.pdf
Size:
892.73 KB
Format:
Adobe Portable Document Format
Description:
Full printable version
Download
Collections
Department of Management