The Information Content of VFTSE

The FTSE 100 Volatility Index (VFTSE) reflects the market expectations of the future monthly volatility of the UK benchmark equity index, FTSE100. VFTSE is calculated using the model-free methodology that involves option prices summations and is independent from the Black and Scholes pricing formula. This study tests and documents the information content of VFTSE regarding both the realized volatility and the returns of the underlying equity index. The empirical findings suggest that VFTSE includes information about future volatility beyond that contained in past volatility and in addition show that there is a statistically significant negative and asymmetric contemporaneous relationship between implied volatility changes and the underlying equity index returns

Implied Volatility Indices – A Review

An implied volatility index reflects the market expectations for the future volatility of the underlying equity index. This study tests and documents the information content, regarding both the realized volatility and the returns of the underlying equity index, of all publicly available implied volatility indices across the world. The empirical findings suggest that implied volatility indices include information about future volatility beyond that contained in past volatility. In addition, we show that there is a statistically significant negative and asymmetric contemporaneous relationship between implied volatility changes and the corresponding underlying equity index returns. Furthermore, this study contributes to the international equity market integration studies by investigating the linkages among major stock exchanges; the basis of the integration analysis is the implied volatility of each market, as proxied by the corresponding implied volatility index and the findings suggest that there is significant integration with respect to market participants\u27 expectations about future uncertainty

Implied volatility indices – A review

© 2020 Board of Trustees of the University of Illinois This study tests and documents the information content of all publicly available implied volatility indices regarding both the realized volatility and the returns of the underlying asset. These topics present a path traveled by earlier work, but there are gains in studying together all 47 volatility-based indices that are now available, in order to examine if different asset classes and financial instruments could possess different return-volatility relations and forecasting ability. Our findings suggest that implied volatility includes information about future volatility beyond that contained in past volatility; this finding is consistent across all assets under review. Furthermore, we find a significant contemporaneous relationship between implied volatility changes and underlying returns, but at the same time, we show that implied volatilities in commodities, bonds, currencies and volatility react differently to underlying price changes compared to equities. Hence, our findings have important implications for asset allocation, risk management and asset pricing

Direct and Indirect Effects of COVID-19 Pandemic on Implied Stock Market Volatility: Evidence from Panel Data Analysis

We investigate the effects of a google trend synthetic index concerning corona virus, as a composite indicator of searching term and theme, on the implied volatility of thirteen major stock markets, covering Europe, Asia, USA and Australia regions by using panel data analysis along with several model specifications and robustness tests. Increased search queries for COVID-19 not only have a direct effect on implied volatility, but also have an indirect effect via stock returns highlighting a risk-aversion channel operating over pandemic conditions. We show that these direct and indirect effects are stronger in Europe relative to the rest of the world. Moreover, in a PVAR framework, a positive shock on stock returns may calm down google searching about COVID-19 in Europe. Our findings suggest that google based anxiety about COVID-19 contagion effects leads to elevated risk-aversion in stock markets. Understanding the links between investors’ decision over a pandemic crisis and asset prices variability is critical for understanding the policy measures needed in markets and economies

Direct and Indirect Effects of COVID-19 Pandemic on Implied Stock Market Volatility: Evidence from Panel Data Analysis

We investigate the effects of a google trend synthetic index concerning corona virus, as a composite indicator of searching term and theme, on the implied volatility of thirteen major stock markets, covering Europe, Asia, USA and Australia regions by using panel data analysis along with several model specifications and robustness tests. Increased search queries for COVID-19 not only have a direct effect on implied volatility, but also have an indirect effect via stock returns highlighting a risk-aversion channel operating over pandemic conditions. We show that these direct and indirect effects are stronger in Europe relative to the rest of the world. Moreover, in a PVAR framework, a positive shock on stock returns may calm down google searching about COVID-19 in Europe. Our findings suggest that google based anxiety about COVID-19 contagion effects leads to elevated risk-aversion in stock markets. Understanding the links between investors’ decision over a pandemic crisis and asset prices variability is critical for understanding the policy measures needed in markets and economies

Exposure-based volatility: an application in corporate risk management

This study develops a non-traditional measure of risk, an exposure-based volatility, for the non-financial company and applies this measure to capture both the downside potential of cash-flows and the probability of requiring additional external financing under most foreseeable conditions. The empirical analysis is applied on a particular Bulgarian transport company and concludes that the proposed measure of exposure-based volatility manages to capture effectively the peaks and troughs in the variance of cash-flows, thus, significantly outperforming the historical standard deviation. This non-traditional downside risk estimate is by itself extremely useful as it contains significant information about a given company. Furthermore, it can be used as a valuable input in several risk management tools; in the current paper, a robust measure of CFaR and an original interpretation of Merton’s credit risk model are presente

Autologous Hematopoietic Stem Cell Transplantation vs Intravenous Pulse Cyclophosphamide in Diffuse Cutaneous Systemic Sclerosis: A Randomized Clinical Trial

Importance: High-dose immunosuppressive therapy and autologous hematopoietic stem cell transplantation (HSCT) have shown efficacy in systemic sclerosis in phase 1 and small phase 2 trials. Objective: To compare efficacy and safety of HSCT vs 12 successive monthly intravenous pulses of cyclophosphamide. Design, Setting, and Participants: The Autologous Stem Cell Transplantation International Scleroderma (ASTIS) trial, a phase 3, multicenter, randomized (1:1), open-label, parallel-group, clinical trial conducted in 10 countries at 29 centers with access to a European Group for Blood and Marrow Transplantation–registered transplant facility. From March 2001 to October 2009, 156 patients with early diffuse cutaneous systemic sclerosis were recruited and followed up until October 31, 2013. Interventions: HSCT vs intravenous pulse cyclophosphamide. Main Outcomes and Measures: The primary end point was event-free survival, defined as time from randomization until the occurrence of death or persistent major organ failure. Results: A total of 156 patients were randomly assigned to receive HSCT (n = 79) or cyclophosphamide (n = 77). During a median follow-up of 5.8 years, 53 events occurred: 22 in the HSCT group (19 deaths and 3 irreversible organ failures) and 31 in the control group (23 deaths and 8 irreversible organ failures). During the first year, there were more events in the HSCT group (13 events [16.5%], including 8 treatment-related deaths) than in the control group (8 events [10.4%], with no treatment-related deaths). At 2 years, 14 events (17.7%) had occurred cumulatively in the HSCT group vs 14 events (18.2%) in the control group; at 4 years, 15 events (19%) had occurred cumulatively in the HSCT group vs 20 events (26%) in the control group. Time-varying hazard ratios (modeled with treatment × time interaction) for event-free survival were 0.35 (95% CI, 0.16-0.74) at 2 years and 0.34 (95% CI, 0.16-0.74) at 4 years. Conclusions and Relevance: Among patients with early diffuse cutaneous systemic sclerosis, HSCT was associated with increased treatment-related mortality in the first year after treatment. However, HCST conferred a significant long-term event-free survival benefit. Trial Registration: isrctn.org Identifier: ISRCTN5437125

Forecasting volatility models in financial markets: equities, options, currencies

Η ακριβής πρόβλεψη της μελλοντικής μεταβλητότητας αποδεικνύεται ιδιαίτερα χρήσιμη για την τιμολόγηση παραγώγων προϊόντων και την αντιστάθμιση κινδύνων στη διαχείριση χαρτοφυλακίων. H τεκμαρτή μεταβλητότητα, όπως αυτή αντανακλάται στις τιμές των δικαιωμάτων προαίρεσης, αποτελεί την εκτίμηση της αγοράς για τη μελλοντική πραγματοποιηθείσα μεταβλητότητα και έχει αποδειχθεί ότι είναι πιο αποτελεσματική από την αντίστοιχη πρόβλεψη που προκύπτει από την ανάλυση ιστορικών χρονοσειρών. Η παρούσα διατριβή πραγματεύεται τη δημιουργία ενός δείκτη τεκμαρτής μεταβλητότητας για την Ελληνική χρηματιστηριακή αγορά, χρησιμοποιώντας έναν τρόπο υπολογισμού, ο οποίος είναι ανεξάρτητος από κάθε υπόδειγμα τιμολόγησης δικαιωμάτων προαίρεσης και βασίζεται σε ένα σταθμισμένο άθροισμα τιμών δικαιωμάτων. Η μεθοδολογία αυτή εφαρμόζεται για πρώτη φορά σε μια περιφερειακή, αναπτυσσόμενη αγορά, όπως το Χρηματιστήριο Αθηνών. Ο εν λόγω δείκτης τεκμαρτής μεταβλητότητας έχει τις προοπτικές να γίνει δείκτης αναφοράς των προσδοκιών για τη μελλοντική μεταβλητότητα στην Ελληνική μετοχική αγορά, καθώς αποδεικνύεται ότι υπερισχύει στατιστικά της ιστορικής μεταβλητότητας. Επίσης, οι επενδυτές του Χρηματιστηρίου Αθηνών μπορούν να χρησιμοποιούν το επίπεδό του και τις ημερήσιες μεταβολές του για να λάβουν επενδυτικές αποφάσεις, καθώς τα αποτελέσματα της οικονομετρικής ανάλυσης αποδεικνύουν ότι υπάρχει αρνητική και ασύμμετρη σχέση μεταξύ των μεταβολών του δείκτη τεκμαρτής μεταβλητότητας και των αποδόσεων του υποκείμενου μετοχικού δείκτη FTSE/Χ.Α.-20. Τέλος, η εμπειρική έρευνα καταγράφει την επιρροή της τεκμαρτής μεταβλητότητας των κυριοτέρων χρηματιστηρίων του εξωτερικού στην εγχώρια τεκμαρτή μεταβλητότητα, ενώ επιπλέον προσπαθεί να αναπτύξει ένα υπόδειγμα για την πρόβλεψη της τεκμαρτής μεταβλητότητας αυτής καθαυτής

Intraday price discovery and volatility spillovers in an emerging market

© 2018 Elsevier Inc. This paper extends the study of price discovery and volatility transmission between the cash and futures index prices in Athens Exchange by using a new high-frequency dataset. It also employs, for the first time in the Greek market, well-known techniques to examine the long-run relationships and the short-run dynamics between spot and futures prices. In sum, the error correction model estimations and the estimated information shares provide evidence in support of the leading role of the futures market in the price discovery process. Furthermore, our results suggest strong bi-directional dependence in the intraday volatility of both markets, refuting prior empirical findings. Finally, we show that the pricing efficiency of the futures contracts in Athens Exchange has improved over the last years, as we document fewer divergences from the no-arbitrage window