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ToolsFilis, G., 2009. An analysis between implied and realised volatility in the Greek Derivatives Market. Journal of Emerging Market Finance, 8 (3), 251 - 263 .
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DOI: 10.1177/097265270900800301
Abstract
In this article, we examine the relationship between implied and realised volatility in the Greek derivative market. We examine the differences between realised volatility and implied volatility of call and put options for at-the-money index options with a two-month expiration period. The findings provide evidence that implied volatility is not an efficient estimate of realised volatility. Implied volatility creates overpricing, for both call and put options, in the Greek market. This is an indication of inefficiency for the market. In addition, we find evidence that realised volatility ‘Granger causes’ implied volatility for call options, and implied volatility of call options ‘Granger causes’, the implied volatility of put options
| Item Type: | Article |
|---|---|
| Uncontrolled Keywords: | Implied volatility, realised volatility, Athens derivatives exchange, Granger causality |
| Group: | Bournemouth University Business School |
| ID Code: | 20580 |
| Deposited By: | Symplectic RT2 |
| Deposited On: | 23 Jan 2013 14:07 |
| Last Modified: | 14 Mar 2022 13:45 |
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