TITLE:
Linkage between India Implied Volatility Index and Stock Index Returns
AUTHORS:
Palamalai Srinivasan, R. D. Vasudevan
KEYWORDS:
India Implied Volatility Index, Asymmetric Volatility-Return Relation, Fear and Greed Index
JOURNAL NAME:
Theoretical Economics Letters,
Vol.7 No.4,
June
16,
2017
ABSTRACT: The present study examines the linkage between the
change in implied volatility index and the underlying stock index return in the
Indian stock market. The empirical results revealed that the contemporaneous
return is the most important factor that determines the changes in the current
India implied volatility. Besides, the empirical evidences confirm the negative
asymmetry volatility-return relation, supporting the behavioral explanations
(the affect and representativeness heuristics) rather than financial leverage
hypothesis.