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| Author: | Masset, P. Wallmeier, M. |
| Title: | A high-frequency investigation of the interaction between volatility and DAX returns |
| Journal: | European Financial Management
2010 : JUN, VOL. 16:3, p. 327-344 |
| Index terms: | volatility causality asymmetric information stock markets Germany |
| Freeterms: | implied volatility Granger causality leverage effect feed-back effect DAX-returns stock index returns |
| Language: | eng |
| Abstract: | The paper analyzes the lead-lag relationship of option implied volatility and index return in Germany based on Granger causality tests and impulse-response functions. Based on the dataset consists of all transactions in DAX options and futures over the time period from 1995 to 2005. The author demonstrates that the relationship is return-driven in the sense that index returns Granger cause volatility changes. This causal relationship is statistically and economically significant and can be clearly separated from the contemporaneous correlation. |
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