Browsing by Subject "VIX"

Now showing 1 - 5 of 5

Open Access
Aggregate volatility expectations and threshold CAPM
(Elsevier Inc., 2015) Arisoy, Y. E.; Altay-Salih, A.; Akdeniz, L.
We propose a volatility-based capital asset pricing model (V-CAPM) in which asset betas change discretely with respect to changes in investors' expectations regarding near-term aggregate volatility. Using a novel measure to proxy uncertainty about expected changes in aggregate volatility, i.e. monthly range of the VIX index (RVIX), we find that portfolio betas change significantly when uncertainty about aggregate volatility expectations is beyond a certain threshold level. Due to changes in their market betas, small and value stocks are perceived as riskier than their big and growth counterparts in bad times, when uncertainty about aggregate volatility expectations is high. The proposed model yields a positive and significant market risk premium during periods when investors do not expect significant uncertainty in near-term aggregate volatility. Our findings support a volatility-based time-varying risk explanation.
Open Access
Determinants of the slope of S&P 500 index options : a joint analysis of macroeconomic announcements and private information
(2014) Yaşar, Burze
This thesis analyzes the possible determinants of the observed implied volatility skew of S&P 500 index options. The thesis will also examine the high frequency changes in VIX in response to macroeconomic announcements. Finally the effect of presidential announcements on stock market volatility will be investigated.
Open Access
Implied volatility indices: a review and extension in the Turkish case
(Elsevier, 2018-08-13) Şensoy, Ahmet; Omole, J.
We 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.
Open Access
The relationship between implied volatility and cryptocurrency returns
(Elsevier, 2020) Akyıldırım, E.; Corbet, S.; Lucey, B.; Şensoy, Ahmet; Yarovaya, L.
We analyse the relationship between the price volatility of a broad range of cryptocurrencies and that of implied volatility of both United States and European financial markets as measured by the VIX and VSTOXX respectively. Overall, our results indicate the existence of time-varying positive interrelationships between the conditional correlations of cryptocurrencies and financial market stress. Further, these correlations are found to increase substantially during periods of high financial market stress, indicating that the contagion of significant financial market fear influences these new financial products.
Open Access
A threshold model for the exchange rate behavior of Turkey
(2009) Fazilet, Fatih
This thesis analyzes the effects of global market conditions and interest rate policy decisions on $/T.L. exchange rate in a nonlinear framework. VIX (Chicago Boards Options Exchange Volatility Index) and unexpected interest rate change are used in the model. It is found that when the exchange rate risk is below a threshold level, exchange rate is sensitive to both unexpected interest rate change and VIX. On the other hand, when the exchange rate risk is high, it becomes insensitive to unexpected interest rate change and significantly more sensitive to VIX