IDEAS home Printed from https://ideas.repec.org/a/asi/aeafrj/v7y2017i1p52-62id1539.html
   My bibliography  Save this article

Dynamics of the Relationship between Implied Volatility Indices and Stock Prices Indices: The Case of European Stock Markets

Author

Listed:
  • Rouetbi Emna
  • Chaabani Myriam

Abstract

This paper examines the relationship between implied volatility indices and stock price indices in the case of five European market : Euro zone, France, Germany, Switzerland and the United Kingdom for the period from January 2010 to March 2015. To achieve that, two empirical models were estimated. Using GARCH modelling, our results show clearly that implied volatility indices contain relevant information concerning future stock market volatility, while this information is still insufficient in predicting the latter. A multiple linear regression procedure confirmed the existence of a strong negative and asymmetrical relationship between the implied volatility indices and stock market returns for three studied markets.

Suggested Citation

  • Rouetbi Emna & Chaabani Myriam, 2017. "Dynamics of the Relationship between Implied Volatility Indices and Stock Prices Indices: The Case of European Stock Markets," Asian Economic and Financial Review, Asian Economic and Social Society, vol. 7(1), pages 52-62.
    • Handle: RePEc:asi:aeafrj:v:7:y:2017:i:1:p:52-62:id:1539
    as

    Download full text from publisher

    File URL: https://archive.aessweb.com/index.php/5002/article/view/1539/2186
    Download Restriction: no
    ---><---

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Tuncer Yılmaz & Bülent Yıldız, 2022. "Yatırımcıların Risk İştahı Endeksi İle Korku Endeksleri Arasındaki İlişki: Türkiye’de ARDL İle Ampirik Bir Uygulama," Journal of Research in Economics, Politics & Finance, Ersan ERSOY, vol. 7(3), pages 646-676.
    2. Yutaka Kurihara & Shinichiro Maeda, 2019. "Do Volatility Indexes and Historical Volatility Influence Stock Prices? The Japanese Case," Journal of Applied Finance & Banking, SCIENPRESS Ltd, vol. 9(6), pages 1-6.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:asi:aeafrj:v:7:y:2017:i:1:p:52-62:id:1539. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Robert Allen (email available below). General contact details of provider: https://archive.aessweb.com/index.php/5002/ .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.