An analysis between implied and realised volatility in the Greek Derivatives Market.

Filis, 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
Subjects:UNSPECIFIED
Group:Business School
ID Code:20580
Deposited By: Unnamed user with email symplectic@symplectic
Deposited On:23 Jan 2013 14:07
Last Modified:16 Jun 2014 13:45

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