An investor sentiment barometer — Greek Implied Volatility Index (GRIV)

Do stylized facts of equity-based volatility indices apply to fixed-income volatility indices? Evidence from the US Treasury market

“…With respect to European volatility indices- Siriopoulos and Fassas (2008) for VFTSE (UK); González and Novales (2009) for VDAX-NEW (Germany), VSMI (Switzerland) and VIBEX (Spain); and Siriopoulos and Fassas (2012) for GRIV (Greece)-the findings are also consistent. Ting (2007), Frijns, Tallau, andTourani-Rad (2010) and Kumar (2012) extend the empirical evidence to Korea, Australia and India, respectively.…”

“…First, there is a negative contemporaneous relationship between changes in volatility indices and the underlying stock indices' returns (see e.g., Giot, 2005;González & Novales, 2009;Whaley, 2009). Second, there is a significant contemporaneous and dynamic relationship among international equity-based volatility indices (see e.g., Äijö, 2008b;Konstantinidi, Skiadopoulos, & Tzagkaraki, 2008;Siriopoulos & Fassas, 2012). Third, volatility indices tend to fall (rise) following scheduled news announcements on macroeconomic fundamentals (unexpected events) (see e.g., Nikkinen & Sahlström, 2004a;Vähämaa & Äijö, 2011;Jiang, Konstantinidi, & Skiadopoulos, 2012).…”

Relationship of the Change in Implied Volatility with the Underlying Equity Index Return in Thailand

“…Frijns et al (2010) finds that the relationship between implied volatility and the underlying index return is significantly negative and asymmetric in the Australian stock market. Siriopoulos and Fassas (2012) find that there is a significant negative and asymmetric relationship between the change in implied volatility index and the underlying equity index return in the Greek stock market, which is contradictory to the previous finding of Skiadopoulos (2004) that the relationship does not exist.…”

“…Moreover, the two coefficients in the model should be significantly different from zero with different sizes. The model in equation (2) is used by Siriopoulos and Fassas (2012) who do not include the lagged change in implied volatility in the equation.…”

Linkage between India Implied Volatility Index and Stock Index Returns

“…Tang [13] and Frijns et al [14] found negative and asymmetric return-volatility relation in the case of Korean and Australian stock market, respectively. Siriopoulos and Fassas [15] established a significant negative and asymmetric linkage in the Greek stock market, which is contradictory to the earlier finding of Skiadopoulos [16]. Lee and Ryu [17] confirmed the existence of asymmetric volatility phenomenon in the Korean and the US stock markets.…”