haku: @all futures / yhteensä: 1003
viite: 8 / 1003
Tekijä:Masset, P.
Wallmeier, M.
Otsikko:A high-frequency investigation of the interaction between volatility and DAX returns
Lehti:European Financial Management
2010 : JUN, VOL. 16:3, p. 327-344
Asiasana:volatility
causality
asymmetric information
stock markets
Germany
Vapaa asiasana:implied volatility
Granger causality
leverage effect
feed-back effect
DAX-returns
stock index returns
Kieli:eng
Tiivistelmä: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.
SCIMA tietueen numero: 272518
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