Munich Personal RePEc Archive

Implied volatility transmissions between Thai and selected advanced stock markets

Thakolsri, Supachok and Sethapramote, Yuthana and Jiranyakul, Komain (2015): Implied volatility transmissions between Thai and selected advanced stock markets.

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Abstract

This paper investigates the impacts of changes in the U. S. implied volatility on the changes in implied volatilities of the Euro and Thai stock markets. For that purpose, volatilities implicit in stock index option prices from the U. S., Euro and Thai stock markets are analyzed using the standard Granger causality test, impulse response analysis, and variance decompositions. The results found in this study suggest that the U. S. stock market is the leading source of volatility transmissions since the changes in implied volatility in the U. S. stock market are transmitted to the Euro and Thai stock markets.

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