IDEAS home Printed from https://ideas.repec.org/a/wei/journl/v6y2016i2p74-86.html

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

Author

Listed:
  • Supachok Thakolsri

    (Public Enterprise Policy Office, Ministry of Finance, Bangkok, Thailand)

  • Yuthana Sethapramote

    (School of Development Economics, National Institute of Development Administration, Bangkok, Thailand)

  • Komain Jiranyakul

    (School of Development Economics, National Institute of Development Administration, Bangkok, Thailand)

Abstract

In this study, we examine the relationship between the change in implied volatility index and the underlying stock index return in the Thai stock market. The data used are daily data during November 2010 to December 2013. The regression analysis is performed on stationary series. The empirical results reveal that there is evidence of significantly negative and asymmetric relationship between the underlying stock index return and the change in implied volatility. In addition, the size effect of the underlying stock index return and the one-period lagged implied volatility change also affect the change in implied volatility. The finding in this study gives implication for risk management.

Suggested Citation

  • Supachok Thakolsri & Yuthana Sethapramote & Komain Jiranyakul, 2016. "Relationship of the Change in Implied Volatility with the Underlying Equity Index Return in Thailand," Economic Research Guardian, Mutascu Publishing, vol. 6(2), pages 74-86, December.
    • Handle: RePEc:wei:journl:v:6:y:2016:i:2:p:74-86
    as

    Download full text from publisher

    File URL: http://www.ecrg.ro/files/p2016.6(2)4y3.pdf
    Download Restriction: no
    ---><---

    Other versions of this item:

    More about this item

    Keywords

    ;
    ;
    ;
    ;

    JEL classification:

    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:wei:journl:v:6:y:2016:i:2:p:74-86. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Mihai Mutascu (email available below). General contact details of provider: .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.