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Zur Handelbarkeit der Volatilitätsindizes VDAX und VDAX-New der Deutsche Börse AG

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  • André Schöne

    (Universität Bielefeld)

Abstract

Zusammenfassung Der vorliegende Beitrag befaßt sich mit der Analyse der Handelbarkeit der beiden Volatilitätsindizes VDAX und VDAX-New der Deutsche Börse AG. Zunächst geht es darum, die Berechnungskonzepte beider Indizes vorzustellen und diese in Verbindung mit marktgehandelten derivativen Finanzinstrumenten zu bringen. Anschließend gilt es zu überprüfen, inwiefern der von der Deutsche Börse AG im April 2005 neu eingeführte VDAX-New sich tatsächlich durch eine im Vergleich zu seinem Vorgänger, dem VDAX, verbeßerte Handelbarkeit auszeichnet. Dies wird als ein entscheidendes Motiv für die Einführung des VDAX-New seitens des Indexbetreibers angeführt. Es wird gezeigt, daß eine Verbeßerung hinsichtlich der Handelbarkeit durch die Neueinführung des VDAX-New nicht ohne weiteres gegeben ist.

Suggested Citation

  • André Schöne, 2009. "Zur Handelbarkeit der Volatilitätsindizes VDAX und VDAX-New der Deutsche Börse AG," Schmalenbach Journal of Business Research, Springer, vol. 61(8), pages 881-910, December.
    • Handle: RePEc:spr:sjobre:v:61:y:2009:i:8:d:10.1007_bf03373672
    DOI: 10.1007/BF03373672
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    References listed on IDEAS

    as
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    2. Chiras, Donald P. & Manaster, Steven, 1978. "The information content of option prices and a test of market efficiency," Journal of Financial Economics, Elsevier, vol. 6(2-3), pages 213-234.
    3. Day, Theodore E. & Lewis, Craig M., 1988. "The behavior of the volatility implicit in the prices of stock index options," Journal of Financial Economics, Elsevier, vol. 22(1), pages 103-122, October.
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    More about this item

    Keywords

    G10; G13;

    JEL classification:

    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing

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