Local and spillover shocks in implied market volatility: Evidence for the U.S. and Germany

Research in International Business and Finance

Volumn 18, Issue 3, 2004, Pages 237-251

  Wagner, Niklas ^a   Szimayer, Alexander ^b  

^a TUM SCHOOL OF MANAGEMENT   (Germany)

^b UNIVERSITY OF WESTERN AUSTRALIA   (Australia)

Author keywords

Implied volatility; Market stress; Public news releases; Volatility indices; Volatility spillover

Indexed keywords

EID: 4344689277     PISSN: 02755319     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.ribaf.2004.04.008     Document Type: Article

References (38)

1. Aboura S. Villa C. 1999. International Market Volatility Indices: An Empirical Study on VX1, VDAX and VIX. Working Paper, ESSEC Business School
2. Andersen T.G. Bollerslev T. Diebold F.X. 2003. Some Like it Smooth and Some Like it Rough: Untangling Continuous and Jump Components in Measuring, Modeling, and Forecasting Asset Return Volatility. Working Paper, University of Pennsylvania
3. Bates D. Post-'87 crash fears in S&P 500 futures options J. Econometr. 94 2000 181-238
4. Brenner M. Ou E.Y. Zhang J.E. 2000. Hedging Volatility Risk. Working paper, Stern School of Business, New York University
5. Canina L. Figlewski S. The informational content of implied volatility Rev. Fin. Stud. 6 1993 659-681
6. Claessen H. Mittnik S. 2002. Forecasting Stock Market Volatility and the Informational Efficiency of the DAX-Index Options Market. CFS Working Paper
7. Corrado C.J. Miller T.W. Efficient option-implied volatility estimators J. Futures Markets 16 1996 247-272
8. Cox J.C. Rubinstein M. 1985. Options Markets. Prentice-Hall, Englewood Cliffs
9. Day T.E. Lewis C.M. Stock market volatility and the informational content of stock index options J. Econometr. 52 1992 267-287
10. Duan J. Ritchken P. Sun Z. 2003. Jump Starting GARCH: Pricing and Hedging Options with Jumps in Returns and Volatilities. Working Paper, University of Toronto
11. Duffie D. Pan J. Singleton K. Transform analysis and asset pricing for affine jump-diffusions Econometrica 68 2000 1343-1376
12. Eraker B. Johannes M. Polson N. The impact of jumps in volatility and returns J. Fin. 58 2003 1269-1300
13. Flemimg J. Ostdiek B. Whaley R.E. Predicting stock market volatility: A new measure J. Futures Markets 15 1995 265-302
14. Franks J.R. Schwartz E.S. The stochastic behaviour of market variance implied in the prices of index options Econ. J. 101 1991 1460-1475
15. Gastineau G.L. An index of listed option premiums Fin. Anal. J. 30 1977 70-75
16. Gemmill G. Kamiyama N. 2000. International Transmission of Option Volatility and Skewness: When you're Smiling, Does the Whole World Smile? Working Paper, City University
17. Giot P. 2003. Implied Volatility Indexes and Daily Value-at-Risk Models. Working Paper, University of Namur
18. Greene W.H. 2003. Econometric Analysis, fifth ed. Prentice Hall, New York
19. Grünbichler A. Longstaff F.A. Valuing futures and options on volatility J. Bank. Fin. 6 1996 985-1001
20. Hamao Y. Masulis R. Ng V. Correlation in price changes and volatility across international stock markets Rev. Fin. Stud. 3 1990 281-308
21. Hansen L.P. Large sample properties of generalized method of moments estimators Econometrica 50 1982 1029-1054
22. Haugen R.A. Talmor E. Torous W.N. The effect of volatility changes on the level of subsequent expected returns J. Fin. 46 1991 985-1007
23. Hentschel L. 2003. Errors in implied volatility estimation. J. Fin. Quant. Anal. 38 779-810
24. Lamoureux C.G. Lastrapes W.D. Forecasting stock-return variance: Toward an understanding of stochastic implied volatilities Rev. Fin. Stud. 6 1993 293-326
25. Latané H.A. Rendleman R.J. Standard deviations implied in option prices J. Fin. 31 1976 369-381
26. Lobo B.J. Jump risk in the U.S. stock market: Evidence using political information Rev. Fin. Econ. 8 1999 149-163
27. Locarek-Junge H. Roth R. 1998. Hedging volatility risk with the VOLAX future. In: Proceedings of the CBOT Research Symposium, Winter 1998. pp. 105-120
28. Mayhew S. 1995. Implied volatility. Financial Anal. J. July-August, 8-20
29. Merton R.C. Option pricing when underlying stock returns are discontinuous J. Fin. Econ. 3 1976 125-144
30. Newey W. West K. A simple positive semi-definite, heteroskedasticity and autocorrelation consistent covariance matrix Econometrica 55 1987 703-708
31. Newey W. West K. Automatic lag selection in covariance matrix estimation Rev. Econ. Stud. 61 1994 631-653
32. Skiadopoulos G. 2003. The Greek Implied Volatility Index: Construction and Properties. Working Paper, University of Piraeus
33. Stein J. Overreactions in the options market J. Fin. 44 1989 1011-1023
34. Susmel R. Engle R.F. Hourly volatility spillovers between international equity markets J. Int. Money Fin. 13 1994 3-25
35. Wagner N. Szimayer A. Alternative model specifications for implied volatility measured by the German VDAX KREDIT U. KAPITAL 34 2001 590-618
36. Whaley R.E. Derivatives on market volatility-hedging tools long overdue J. Derivat. 1 1993 71-84
37. Whaley R.E. The investor fear gauge J. Portfol. Manage. 26 2000 12-17
38. Xu X. Taylor S.J. The term structure of volatility implied by foreign exchange options J. Fin. Quant. Anal. 29 1994 57-74