Relationship of the change in implied volatility with the underlying equity index return in Thailand

Thakolsri, Supachock and Sethapramote, Yuthana and Jiranyakul, Komain (2016): Relationship of the change in implied volatility with the underlying equity index return in Thailand.

Abstract

In this study, we examine the relationship between the change in implied volatility index and the underlying stock index return in the Thai stock market. The data used are daily data during November 2010 to December 2013. The regression analysis is performed on stationary series. The empirical results reveal that there is evidence of a significantly negative and asymmetric relationship between the underlying stock index return and the change in implied volatility. The finding in this study gives implication for risk management.

• Item Type: MPRA Paper
• Language: English
• Keywords: Equity index return, implied volatility, asymmetric effect
• Subjects: C - Mathematical and Quantitative Methods > C2 - Single Equation Models ; Single Variables > C22 - Time-Series Models ; Dynamic Quantile Regressions ; Dynamic Treatment Effect Models ; Diffusion Processes; G - Financial Economics > G1 - General Financial Markets > G15 - International Financial Markets

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