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2014 | 15(XV) | nr 1 | 218-223
Tytuł artykułu

Construction and Properties of Volatility Index for Warsaw Stock Exchange

Treść / Zawartość
Warianty tytułu
Języki publikacji
EN
Abstrakty
EN
Volatility indices became a important factors on capital markets and are considered as fear factors. First volatility index VIX, was defined for Chicago Board of Trade in 1993, and was developed in 2003. In next years we observed growing numbers of volatility indices on main capital market around of the world. There were more than 20 volatility indices on capital markets at the end of 2012. The aim of this study is construction of the volatility index considering to Warsaw Stock Exchange trading rules and market participants. We also test the "fear factor" properties of this index. (original abstract)
Twórcy
  • GPW Warsaw Stock Exchange, Poland
Bibliografia
  • The CBOE Volatility Index - VIX, CBOE White Paper, Revised, 2009
  • Demeterfi K., Derman E., Kamal M., Zou J. (1999) More Than You Ever Wanted To Know About Volatility Swap, Quantitative Strategies Research Notes.
  • Sharpe W.F. (1964) Capital Asset Prices: A Theory of Market Equilibrium Under Conditions of Risk, Journal of Finance, 19, 425 - 442.
  • Simon D.P. (2003) The NASDAQ volatility index During and After the Bubble, Journal of Derivatives, Winter, 9-24.
  • Whaley R. (1993) Derivatives on Market Volatility: Hedging Tools Long Overdue, Journal of Derivatives, 1 (Fall), 71- 84.
  • Whaley R. (2000), The Investor Fear Gauge. Explication of the CBOE VIX, Journal of Portfolio Management, (Spring), 12-17.
Typ dokumentu
Bibliografia
Identyfikatory
Identyfikator YADDA
bwmeta1.element.ekon-element-000171316649
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