Volatility Skews of Indexes of BRICS Securities Exchanges
| Autor: | Chadd B. Hunzinger, Coenraad C.A. Labuschagne, Sven T. von Boetticher |
|---|---|
| Rok vydání: | 2014 |
| Předmět: |
index
Financial economics securities exchange General Engineering Energy Engineering and Power Technology FTSE/JSE Top 40 CSI 300 Gross domestic product Market liquidity S&P BSE SENSEX volatility skew Valuation of options Volatility swap Borsa 100 index BRICS JSE Economics Volatility smile Volatility (finance) IBrX China Emerging markets INDEXCF option pricing |
| Zdroj: | Procedia Economics and Finance. 14:263-272 |
| ISSN: | 2212-5671 |
| DOI: | 10.1016/s2212-5671(14)00711-4 |
| Popis: | The shapes of volatility skews of an index on a securities exchange can describe the volatility and liquidity of a local market. However the volatility skews of various exchanges are not made public and as a result alternative means need to be employed to compare indexes on different securities exchanges. In this paper we use a method used to obtain the volatility skew of an index which only requires the return time series of the index and the country's central bank rate. The BRICS countries which consist of Brazil, Russia, India, China and South Africa are similar in certain attributes, i.e. political and trade aims. They do however differ in macro-economic factors like gross domestic product (GDP) and inflation. We compare the volatility skews of the major indexes of BRICS securities exchanges. South Africa, Brazil and Turkey are three emerging economies. A comparison of the volatility skews of indexes on their securities exchanges is also made. |
| Databáze: | OpenAIRE |
| Externí odkaz: |
|