A Study on the Relationship between the Volatility Index and the Equity Index with reference to S&P 500 and Nifty

Autor:	P. B. Saranya, R. K. Sudhamathi
Rok vydání:	2018
Předmět:	Volatility index Stock market volatility Geography Planning and Development Economics Econometrics Equity (finance) Management Monitoring Policy and Law
Zdroj:	Asian Journal of Research in Banking and Finance. 8:1
ISSN:	2249-7323
DOI:	10.5958/2249-7323.2018.00056.1
Popis:	The study examines the asymmetric and inter temporal relationship between India Volatility Index and select equity index returns. The empirical evidences in the study reveals that there prevails an asymmetric relationship among India VIX and select equity index and at the same time the magnitude of asymmetry is not identical. The study also reveals that the current values of change in volatility and stock returns are negatively correlated, and past and current stock returns are positively associated with the future stock market volatility.
Databáze:	OpenAIRE
Externí odkaz:	https://explore.openaire.eu/search/publication?articleId=doi_________::2fc0b0e80c1ba42615e0b5a3c7b985b3 https://doi.org/10.5958/2249-7323.2018.00056.1 Zobrazit plný text záznamu