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

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  • Siriopoulos, Costas
  • Fassas, Athanasios

Abstract

In this paper, we propose a new measure of Greek equity market volatility based on the prices of FTSE/ATHEX-20 index options. Greek Implied Volatility Index is calculated using the model-free methodology that involves option prices summations and is independent from the Black and Scholes pricing formula. The specific method is applied for the first time in a peripheral and illiquid market as the Athens Exchange.

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Bibliographic Info

Article provided by Elsevier in its journal Global Finance Journal.

Volume (Year): 23 (2012)
Issue (Month): 2 ()
Pages: 77-93

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Handle: RePEc:eee:glofin:v:23:y:2012:i:2:p:77-93

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Web page: http://www.elsevier.com/locate/inca/620162

Related research

Keywords: Implied volatility indices; Athens Stock Exchange; VIX; VDAX;

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References

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Cited by:
  1. Costas Siriopoulos & Athanasios Fassas, 2013. "Dynamic relations of uncertainty expectations: a conditional assessment of implied volatility indices," Review of Derivatives Research, Springer, vol. 16(3), pages 233-266, October.

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