Dynamics of the Relationship between Implied Volatility Indices and Stock Prices Indices: The Case of European Stock Markets

Asian Economic and Financial Review

关键词: Implied volatility indices;    Stock market returns;    Volatility asymmetry;    Volatility feedback;    European equity markets.;   

学科分类：社会科学、人文和艺术（综合）

来源: Asian Economic and Social Society

【 摘 要 】

This paper examines the relationship between implied volatility indices and stock price indices in the case of five European market : Euro zone, France, Germany, Switzerland and the United Kingdom for the period from January 2010 to March 2015. To achieve that, two empirical models were estimated. Using GARCH modelling, our results show clearly that implied volatility indices contain relevant information concerning future stock market volatility, while this information is still insufficient in predicting the latter.? A multiple linear regression procedure confirmed the existence of a strong negative and asymmetrical relationship between the implied volatility indices and stock market returns for three studied markets.

【 授权许可】

CC BY