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Implied volatility transmissions between Thai and selected advanced stock markets

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  • Thakolsri, Supachok
  • Sethapramote, Yuthana
  • Jiranyakul, Komain

Abstract

This paper investigates the impacts of changes in the U. S. implied volatility on the changes in implied volatilities of the Euro and Thai stock markets. For that purpose, volatilities implicit in stock index option prices from the U. S., Euro and Thai stock markets are analyzed using the standard Granger causality test, impulse response analysis, and variance decompositions. The results found in this study suggest that the U. S. stock market is the leading source of volatility transmissions since the changes in implied volatility in the U. S. stock market are transmitted to the Euro and Thai stock markets.

Suggested Citation

  • Thakolsri, Supachok & Sethapramote, Yuthana & Jiranyakul, Komain, 2015. "Implied volatility transmissions between Thai and selected advanced stock markets," MPRA Paper 65901, University Library of Munich, Germany.
    • Handle: RePEc:pra:mprapa:65901
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    References listed on IDEAS

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    Cited by:

    1. Fassas, Athanasios P. & Siriopoulos, Costas, 2021. "Implied volatility indices – A review," The Quarterly Review of Economics and Finance, Elsevier, vol. 79(C), pages 303-329.
    2. 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.

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    More about this item

    Keywords

    Stock index option prices; implied volatility; causality; impulse response functions; variance decompositions;
    All these keywords.

    JEL classification:

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

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