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Purpose Market volatility is subject to good or bad news and even responses to fake news and policy changes. In this piece of work, the authors consider the effects of the recent COVID-19 pandemic event on the global equity market, commodities and FX market, measured in terms of the investors' fear index. Design/methodology/approach In this empirical work, the authors employ time series-based regression models followed by augmented dummy regressions and growth of the COVID-19. Findings COVID-19-induced investors' fear appears to be higher in the equity segment for the first time since the market crash of 1987 and the global financial crisis of 2008–2009. Furthermore, this disease outbreak shock has been more pronounced in terms of crude oil prices. Besides, a market participant in the commodity and FX market has paid a disproportionate premium to protect such pandemic development. Findings show that Options act as the best hedge against an uncertainty like COVID-19 and that option-based implied volatility is the best measure of investors' fear and market volatility. Practical implications This study has practical implications for the financial markets, e.g. (1) Contagious disease outbreak news matters for the equity, commodity, and foreign exchange markets – empirical outcome validates the theory of market efficiency valid for the Options. (2) Option's implied volatility is the best indicator of investor fear measured for the unprecedented economic news. Further implication holds for the policymakers and society, e.g. (1) The unavailability of short-selling could be one plausible reason for increased uncertainty and volatility; hence, policymakers should look upon this issue at the exchange level. (2) Any market needs multiple lines of risk management, effective price discovery and attractive liquidity. Originality/value The study is novel in terms of presenting market behavior amid COVID-19 across global equity markets and commodities and FX markets.
Imlak Shaikh; Toan Luu Duc Huynh. Does disease outbreak news impact equity, commodity and foreign exchange market? Investors' fear of the pandemic COVID-19. Journal of Economic Studies 2021, ahead-of-p, 1 .
AMA StyleImlak Shaikh, Toan Luu Duc Huynh. Does disease outbreak news impact equity, commodity and foreign exchange market? Investors' fear of the pandemic COVID-19. Journal of Economic Studies. 2021; ahead-of-p (ahead-of-p):1.
Chicago/Turabian StyleImlak Shaikh; Toan Luu Duc Huynh. 2021. "Does disease outbreak news impact equity, commodity and foreign exchange market? Investors' fear of the pandemic COVID-19." Journal of Economic Studies ahead-of-p, no. ahead-of-p: 1.
Purpose The crude oil market has experienced an unprecedented overreaction in the first half of the pandemic year 2020. This study aims to show the performance of the global crude oil market amid Covid-19 and spillover relations with other asset classes. Design/methodology/approach The authors employ various pandemic outbreak indicators to show the overreaction of the crude oil market due to Covid-19 infection. The analysis also presents market connectedness and spillover relations between the crude oil market and other asset classes. Findings One of the essential findings the authors report is that the crude oil market remains more responsive to pandemic fake news. The shock of the global pandemic panic index and pandemic sentiment index appears to be more promising. It has also been noticed that the energy trader's sentiment (OVX and OIV) was measured at a too high level within the Covid-19 outbreak. Volatility spillover analysis shows that crude oil and other market are closely connected, and the total connectedness index directs on average 35% contribution from spillover. During the initial growth of the infection, other macroeconomic and political events remained to favor the market. The second phase amidst the pandemic outbreak harms the global crude oil market. The authors find that infectious diseases increase investor panic and anxiety. Practical implications The crude oil investors' sentiment index OVX indicates fear and panic due to infectious diseases and lack of hedge funds to protect energy investments. The unparalleled overreaction of the investors gauged in OVX indicates market participants have paid an excessive put option (protection) premium over the contagious outbreak of the infectious disease. Originality/value The empirical model and result reported amid Covid-19 are novel in terms of employing a news-based index of the pandemic, which are based on the content analysis and text search using natural processing language with the aid of computer algorithms.
Imlak Shaikh. On the relation between the crude oil market and pandemic Covid-19. European Journal of Management and Business Economics 2021, ahead-of-p, 1 .
AMA StyleImlak Shaikh. On the relation between the crude oil market and pandemic Covid-19. European Journal of Management and Business Economics. 2021; ahead-of-p (ahead-of-p):1.
Chicago/Turabian StyleImlak Shaikh. 2021. "On the relation between the crude oil market and pandemic Covid-19." European Journal of Management and Business Economics ahead-of-p, no. ahead-of-p: 1.
Fear of the disease outbreak news (DONs) has shocked commodity markets and raised the likelihood of economic uncertainty and recession globally. This article examines the unprecedented overreaction of investors sentiments in the commodities such as Crude oil, Gold, Gold Mining, Silver, and the Energy sector. The deadly effects of DONs-COVID-19 in the commodities market have been the worst in history; it appeared the first time higher than the common stock's volatility. Covid-19 induced economic uncertainty has impacted severely through all commodities except the safe-haven Gold (GVZ). Importantly, ETF Options based Implied Volatility Index of Crude (OVX), Silver (VXSLV), and Energy (VXXLE) stocks have crossed the peak level what it was prevailing during the global financial crisis 2008. The unparalleled upsurge of the implied volatility index across all commodities indicates higher demand for the hedge funds to protects the commodity portfolio. ETF options on the commodity act as the best hedge against market uncertainty. Overburden on the put option results in an increased risk premium, henceforth higher expected volatility. ETF options truly measure the investor's fear of predominant in the commodity market.
Imlak Shaikh. On the relation between Pandemic Disease Outbreak News and Crude oil, Gold, Gold mining, Silver and Energy Markets. Resources Policy 2021, 72, 102025 .
AMA StyleImlak Shaikh. On the relation between Pandemic Disease Outbreak News and Crude oil, Gold, Gold mining, Silver and Energy Markets. Resources Policy. 2021; 72 ():102025.
Chicago/Turabian StyleImlak Shaikh. 2021. "On the relation between Pandemic Disease Outbreak News and Crude oil, Gold, Gold mining, Silver and Energy Markets." Resources Policy 72, no. : 102025.
This article aims to uncover the effects of the COVID-19 pandemic on the energy markets in terms of energy stock indexes, energy futures, ETFs, and implied volatility indexes. We model the volatility of energy markets and demonstrate the effects of various phases of the pandemic outbreak (COVID-19) on the energy market. COVID-19-induced uncertainty indicators like the growth of the infection, economic policy uncertainty (EPU), and infectious diseases market volatility (IDsMV) have shown pronounced effects on energy markets’ historical volatility. The volatility of energy ETFs–stocks appears to be more resilient in line with S&P 500 energy stocks. WTI crude oil market has shown an unprecedented overreaction amid pandemic outbreaks and traded with an extreme volatility level. The investors’ sentiment in the energy market was factually higher on the tail events, indicating that fearful investors rushed toward put options and paid an excess premium to protect from unparalleled risk in the energy market.
Imlak Shaikh. Impact of COVID-19 pandemic on the energy markets. Economic Change and Restructuring 2021, 1 -52.
AMA StyleImlak Shaikh. Impact of COVID-19 pandemic on the energy markets. Economic Change and Restructuring. 2021; ():1-52.
Chicago/Turabian StyleImlak Shaikh. 2021. "Impact of COVID-19 pandemic on the energy markets." Economic Change and Restructuring , no. : 1-52.
Behavioural finance literature explains that investment decisions are subject to ‘investor sentiment’ and, consequently, may affect the pricing of various asset classes. Our study examines the 12 major equity markets amid the COVID-19 pandemic disease outbreak in relation to returns and volatility behaviour. Empirical results show that the number of new cases and deaths recorded daily because of COVID-19 has disrupted investors’ sentiments globally, and also, the market has experienced an unparalleled negative return. Market connectedness and volatility spillover deliberate on the increased risk of emergent pandemic crises, which has become more pronounced during the first quarter of 2020. Further, after the global financial crisis, the volatility index has appeared at its highest level for the very first time. The unprecedented rise in the volatility index level indicates more significant pressure on put options as a hedge against the pandemic uncertainty.
Imlak Shaikh. Impact of COVID-19 pandemic disease outbreak on the global equity markets. Economic Research-Ekonomska Istraživanja 2020, 34, 2317 -2336.
AMA StyleImlak Shaikh. Impact of COVID-19 pandemic disease outbreak on the global equity markets. Economic Research-Ekonomska Istraživanja. 2020; 34 (1):2317-2336.
Chicago/Turabian StyleImlak Shaikh. 2020. "Impact of COVID-19 pandemic disease outbreak on the global equity markets." Economic Research-Ekonomska Istraživanja 34, no. 1: 2317-2336.
Private investment in public equity firms (PIPE) is growing exponentially across the globe, and most of the theoretical and empirical works are accessible for the U.S. and European settings. There is a lack of studies in emerging markets like India. Our empirical research consists of 810 public equity (PE) transactions, out of which 761 are PIPE deals for the period 1998–2016. The study aims to investigate whether PIPE deals show different performance in different life cycles as distinct stages and operating targets. Under the hypothesis of information asymmetry and financial distress, we find that PIPE issuance significantly impacts sales growth, returns on equity, and operating performance. It is evident that the growth stage shows an adverse impact on future sales growth and profitability while it's encouraging for return on equity. Our findings based on the firm's life cycle show that maturity and stagnant stage reveal pronounced effects. Moreover, investor type and investment flow either from Indian-dedicated, foreign, and co-investment show a favourable impact on future profitability. One of the study's essential findings is that a firm in the growth stage needs more investment in the form of PIPE issuance, and it shows a significant impact on profitability and liquidity.
Shailendra Kumar Rai; Imlak Shaikh. Does the performance of private investment in public equity firms behave differently in different life cycles? Applied Economics 2020, 53, 1935 -1951.
AMA StyleShailendra Kumar Rai, Imlak Shaikh. Does the performance of private investment in public equity firms behave differently in different life cycles? Applied Economics. 2020; 53 (17):1935-1951.
Chicago/Turabian StyleShailendra Kumar Rai; Imlak Shaikh. 2020. "Does the performance of private investment in public equity firms behave differently in different life cycles?" Applied Economics 53, no. 17: 1935-1951.
Economic policy drives investment, production, employment, and other macroeconomic indicators of the economy. The study examines the equity, commodity, interest rates, and currency markets, taking into consideration the US economic policy uncertainty (EPU) index. The present work determines the association among policy uncertainty and volatility index, expressed in terms of generalized autoregressive conditional heteroscedasticity and period of empirical work spanning from 2000 to 2018. The results suggest that equity markets’ volatility tends to be very high based on a high degree of policy uncertainty. The findings on the commodity market indicate that crude oil and gold prices remain more volatile during the presidential election and financial crisis. One of the essential results shows that the 2000s boom, early credit crunch, Lehman’s collapse and recession, and fiscal policy battles have significantly affected the equity, currency, and commodity markets. The interest rates and currency markets have responded considerably to Feds’ and EPU index. The empirical outcome provides evidence that implied volatility index is a forward looking expectation of future stock market volatility, and it uncovers that policy uncertainty affects investor sentiment. The present work holds some practical implications for the government to formulate policies to regulate the US market.
Imlak Shaikh. DOES POLICY UNCERTAINTY AFFECT EQUITY, COMMODITY, INTEREST RATES, AND CURRENCY MARKETS? EVIDENCE FROM CBOE’S VOLATILITY INDEX. Journal of Business Economics and Management 2020, 21, 1350 -1374.
AMA StyleImlak Shaikh. DOES POLICY UNCERTAINTY AFFECT EQUITY, COMMODITY, INTEREST RATES, AND CURRENCY MARKETS? EVIDENCE FROM CBOE’S VOLATILITY INDEX. Journal of Business Economics and Management. 2020; 21 (5):1350-1374.
Chicago/Turabian StyleImlak Shaikh. 2020. "DOES POLICY UNCERTAINTY AFFECT EQUITY, COMMODITY, INTEREST RATES, AND CURRENCY MARKETS? EVIDENCE FROM CBOE’S VOLATILITY INDEX." Journal of Business Economics and Management 21, no. 5: 1350-1374.
Bitcoin is the digital currency of the digital economy. This article is an attempt to reveal the effects of policy uncertainty on Bitcoin returns with economic policy uncertainty (EPU) in the US, the UK, Japan, China, and Hong Kong. Furthermore, we also present the results of monetary policy uncertainty (MPU) on the Bitcoin market. The robust estimations from the quantile regression and Markov regime-switching model show that Bitcoin returns are affected by EPU. One of the essential findings is that Bitcoin returns are more responsive to EPU in the US, China, and Japan. In the US and Japan, uncertainty has a negative effect on the Bitcoin market whereas in China it has a positive effect. Global MPU uncertainty is also significant in explaining Bitcoin exchange rates. Moreover, the Bitcoin market is negatively affected by uncertainty in Federal Open Market Committee (FOMC), the gross domestic product, and other macroeconomic data. Uncertainty in the equity market and Bitcoin returns are negatively associated.
Imlak Shaikh. Policy uncertainty and Bitcoin returns. Borsa Istanbul Review 2020, 20, 257 -268.
AMA StyleImlak Shaikh. Policy uncertainty and Bitcoin returns. Borsa Istanbul Review. 2020; 20 (3):257-268.
Chicago/Turabian StyleImlak Shaikh. 2020. "Policy uncertainty and Bitcoin returns." Borsa Istanbul Review 20, no. 3: 257-268.
Given that political events have substantial effect on new economic policies and economic performance of the country, this article aims to examine the behavior of the investors’ sentiment in terms of implied volatility index trailed by the U.S. presidential elections. The study empirically tests whether the presidential elections in 2012/2016 do contain the important market inclusive information to explain the expected stock market volatility. The findings indicate that investors’ concern was distracted around the presidential elections window, albeit the market performed identically in both the presidential election years. The significant fall in the implied volatility level (post-election period) is the calm before the storm, just wait and watch. The positive estimate uncovers the fact that investor worries were higher before the election day. In particular, the significant estimate of the presidential election debate shows that investors do regard the minutes of the presidential election debates in their portfolio selection. At the two elections era, on the candidacy of both the parties, the empirical result speaks marginally contrasting outcomes and falsifies the presidential election cycle hypothesis of past 29 U.S. election years. Empirical estimates conclude that the presidential elections in 2012/2016 have a strong, significant relationship with investor’s sentiment and stock market performance.
Imlak Shaikh. The U.S. Presidential Election 2012/2016 and Investors’ Sentiment: The Case of CBOE Market Volatility Index. SAGE Open 2019, 9, 1 .
AMA StyleImlak Shaikh. The U.S. Presidential Election 2012/2016 and Investors’ Sentiment: The Case of CBOE Market Volatility Index. SAGE Open. 2019; 9 (3):1.
Chicago/Turabian StyleImlak Shaikh. 2019. "The U.S. Presidential Election 2012/2016 and Investors’ Sentiment: The Case of CBOE Market Volatility Index." SAGE Open 9, no. 3: 1.
This article examines the effects of economic policy uncertainty (EPU) on the implied volatility index. The implied volatility index of various markets has been analyzed in relation to scheduled macroeconomic announcements, such as EPU and equity market policy uncertainty (EMPU) indices. The study highlights that EPU contains important information to explain the diverse market effects of the U.S., which is gauged into the volatility index. Estimates obtained in an autoregressive conditional heteroscedasticity framework indicate the persistence of volatility during spikes in the EPU. More importantly, the lagged values of the policy uncertainty index also contains market-related information to explain the markets’ future volatility. Major political and economic events have also contributed positively in that a presidential election contains information to explain various asset classes. Commodities, such as crude oil, gold, corn, and soybean, have been impacted significantly followed by EPU. Moreover, interest rate market volatility has also been moved adversely due to tight monetary policy. The Markov regime switching regression manifests that the implied volatility index (VIX) behaves abruptly in two different regimes followed by EPU.
Imlak Shaikh. On the Relationship between Economic Policy Uncertainty and the Implied Volatility Index. Sustainability 2019, 11, 1628 .
AMA StyleImlak Shaikh. On the Relationship between Economic Policy Uncertainty and the Implied Volatility Index. Sustainability. 2019; 11 (6):1628.
Chicago/Turabian StyleImlak Shaikh. 2019. "On the Relationship between Economic Policy Uncertainty and the Implied Volatility Index." Sustainability 11, no. 6: 1628.
The paper aims to examine the relationship between stock returns and terrorist attacks for the Indian securities market in last 30 years. The stock market returns have been modelled using conditional volatility framework, and there are good enough shreds of evidence to confirm that terrorist activity and cross-border tension has disrupted the investors’ sentiment. The market response to the terrorist attack holds different facets like Target, Location, Number-of-perpetrators, and Property-value has produced a significant impact on the financial market. At the outset, attack day hold an adverse effect on the market and remains unstable till next few days followed by the recent terrorist attack. The results also imply that market participant considers the nature of terrorist attack in their portfolio selection and long-term investment strategy. The practical implications of the study are threefold: (i) investors do regard the terrorist attack in their investment proposal (ii) investors take the short position due to terrorist attack that result into the rise of general stock market volatility and (iii) the financial planning within short-horizon gets postponed followed by the recent terrorist attack.
Imlak Shaikh. The impact of terrorism on Indian securities market. Economic Research-Ekonomska Istraživanja 2019, 32, 1744 -1764.
AMA StyleImlak Shaikh. The impact of terrorism on Indian securities market. Economic Research-Ekonomska Istraživanja. 2019; 32 (1):1744-1764.
Chicago/Turabian StyleImlak Shaikh. 2019. "The impact of terrorism on Indian securities market." Economic Research-Ekonomska Istraživanja 32, no. 1: 1744-1764.
The study examines major implied volatility indices of Eurozone, Asia-Pacific, Africa, Canada and USA on the event of Brexit poll of UK. To investigate the fear and greed of investors’ on this historical event, we consider the window of 11-days. The findings suggest that investors’ degree of over-reaction on Brexit decision was very disappointing and fueled concerns on the future investment and portfolio choices. The key volatility indices were on the rise prior to the decision, while the market noticed astray and breached its normal range on the day of Brexit poll results. The results are consistent with the market efficiency, and options trading that contain enough information to explain future stock market volatility. Definitely, the work has practical implications to volatility traders and portfolio managers. This empirical attempt provides a good opportunity for researchers in financial economics to examine global linkages of financial markets, more specifically gives an insight how EU’s financial system and equity markets will perform in future. The Brexit events will change the way of risk management and assets management in the Europe and neighbor countries.
Imlak Shaikh. Brexit and Global Implied Volatility Indices. Sustainable Transport Development, Innovation and Technology 2018, 73 -88.
AMA StyleImlak Shaikh. Brexit and Global Implied Volatility Indices. Sustainable Transport Development, Innovation and Technology. 2018; ():73-88.
Chicago/Turabian StyleImlak Shaikh. 2018. "Brexit and Global Implied Volatility Indices." Sustainable Transport Development, Innovation and Technology , no. : 73-88.
This paper investigates most important implied volatility indices of Eurozone, Asia-Pacifi c, Africa, Canada and USA on the event of Brexit election of UK. Since the international economic events signal new information to market participants, the Brexit event has gauged in the 12 global markets’ volatility indices such as VFTSE, VIX, VDAX, VSMI, VSTOXX, VXJ, VHSI, VKOSPI, NVIX, VASX, VXIC and SAVI. A high fear of index about 20-36% has been noticed on the day of Brexit decision. Abnormal returns and cumulative abnormal returns on volatility index are found to be positive, while majority of global equity markets have reported negative stock returns on this event. To investigate the ‘fear-and-greed’ of investors on this historical event, a window of 11 -day has been considered. The findings suggest that investors’ degree of over-reaction on Brexit decision was very disappointing and fueled concerns on the future investment and portfolio choices. The key volatility indices were on the rise prior to the decision, while the market noticed astray and breached its normal range on the day of Brexit referendum. The findings suggest that market participants have diverted their funds into other safer investment outlets due to Brexit effects.
Imlak Shaikh. The Brexit and investors' fear. Ekonomski pregled 2018, 69, 396 -442.
AMA StyleImlak Shaikh. The Brexit and investors' fear. Ekonomski pregled. 2018; 69 (4):396-442.
Chicago/Turabian StyleImlak Shaikh. 2018. "The Brexit and investors' fear." Ekonomski pregled 69, no. 4: 396-442.
In this article, we examine the impact of banking expansion on income growth in India. The banking expansion indices have been calculated across the region and states/Union Territories, providing the insight that all the regions, excluding the western region, are exhibiting banking expansion indices in the low range. The state-wise analysis indicates that all states exhibit a low-range index, excluding the state of Maharashtra and the UTs of Delhi and Chandigarh. Further, for the examination of the linkage between banking expansion and income growth, a panel data set was prepared for the 23 states/UTs over the period from 1990 to 2015. The panel data regression analysis approach was applied for the estimation of the regression model. It is apparent from the results that the banking expansion has significant and positive effects on credit disbursement. The results indicate that a one crore increase in deposit mobility causes 0.81 crores of increase in credit disbursement. Moreover, credit disbursement and deposit mobilization have a substantial and positive effect on the Net State Domestic Product. Moreover, a 1 percent increase in credit causes a 0.46 percent increase in NSDP, and a 1 percent increase in deposits causes a 0.57 percent increase in NSDP. Further, Net State Domestic Product has a significant and positive effect on the income of individuals. It is evident that a 1 percent increase in NSDP causes a 0.54 percent increase in per capita NSDP, while a 1 percent increase in capital expenditure causes a 0.13 percent increase in per capita NSDP.
Mohd Anwar; Imlak Shaikh. Banking Expansion and Income Growth in India. Sustainability 2018, 10, 2756 .
AMA StyleMohd Anwar, Imlak Shaikh. Banking Expansion and Income Growth in India. Sustainability. 2018; 10 (8):2756.
Chicago/Turabian StyleMohd Anwar; Imlak Shaikh. 2018. "Banking Expansion and Income Growth in India." Sustainability 10, no. 8: 2756.
There is a shift in focus from traditional accounting-based performance measures to the new value-based performance measures. With the rising focus on value-based performance measures which are derived from the long-term goal of wealth maximization as opposed to the short-term approach of profit maximization, EVA and FCF are promising indicators. Many past researches have shown that value-based performance indicators (especially EVA) are superior to traditional indicators like EPS, ROE, ROA, etc. Traditional indicators do not capture value creation and since they are accounting based, they can be manipulated by the managers. Therefore using them as firms’ performance measure is not in the best interest of the shareholders. The purpose of this study is to understand the various value-based performance measures and empirically verify the conceptual equivalence of free cash flow (FCF) and economic value added (EVA). For this, a sample of 30 firms listed in BSE SENSEX is taken and their FCF and EVA are calculated for the period of 5 years, from 2011 to 2015. The results of this calculation are analyzed using correlation and regression analysis. The descriptive analysis shows that there is a strong correlation between FCF and EVA. The regression analysis also shows that EVA and FCF are positively related which means that both EVA and FCF give similar results regarding firms’ performance. The discounting of appropriately defined cash flows (FCF) is conceptually equivalent to discounting economic profits (EVA) for performance and decision-making process. This study has empirically tested the conceptual equivalence of the two measures.
Imlak Shaikh. On the Examination of Value-Based Performance Measures: Evidence from Indian Firms. Sustainable Transport Development, Innovation and Technology 2017, 527 -535.
AMA StyleImlak Shaikh. On the Examination of Value-Based Performance Measures: Evidence from Indian Firms. Sustainable Transport Development, Innovation and Technology. 2017; ():527-535.
Chicago/Turabian StyleImlak Shaikh. 2017. "On the Examination of Value-Based Performance Measures: Evidence from Indian Firms." Sustainable Transport Development, Innovation and Technology , no. : 527-535.
In this article, the information content of implied volatility is studied at sub-periods (i.e., pre- and post-crises of 2007–09). The main objective is to judge the predictive power of implied volatility in the pre- and post-crises period, using at-the-money (ATM) non-overlapping monthly implied volatilities of Nifty Index options. A simple ordinary least squares (OLS) estimation is used to analyse the information content of implied volatility in sub-periods. An autoregressive-moving average (ARMA) structure is analysed for the assessment of times series property of ex-ante and ex-post volatility. An autoregressive distributed lag (ARDL) model is adopted to choose the most advantageous forecasting model for predicting the future volatility. The OLS estimation shows that implied volatility is more biased in the pre-crises period. The two-stage least squares (2SLS) estimation clearly explains that implied volatility is an unbiased estimate of the future realised volatility. An ARMA (1,1) and ARDL (1,0) is the best model of future volatility estimation. This study explains that for Indian derivative market, volatility estimates based on options are useful for the pricing of derivative instruments and portfolio risk management. JEL Classification: G13, G14, C53
Imlak Shaikh; Puja Padhi. On the Relationship of Ex-ante and Ex-post Volatility: A Sub-period Analysis of S&P CNX Nifty Index Options. Journal of Emerging Market Finance 2015, 14, 140 -175.
AMA StyleImlak Shaikh, Puja Padhi. On the Relationship of Ex-ante and Ex-post Volatility: A Sub-period Analysis of S&P CNX Nifty Index Options. Journal of Emerging Market Finance. 2015; 14 (2):140-175.
Chicago/Turabian StyleImlak Shaikh; Puja Padhi. 2015. "On the Relationship of Ex-ante and Ex-post Volatility: A Sub-period Analysis of S&P CNX Nifty Index Options." Journal of Emerging Market Finance 14, no. 2: 140-175.
The aim of this paper is to investigate the behavior of implied volatility in the form of day-of-the-week, year-of-the-month and surround the expiration of options. The persistence of volatility is modeled in ARCH/GARCH type framework. The empirical results have shown significant effects of the day-of-the-week, month-of-the-year and day of options expiration. The positive significant Monday effect explains that India VIX rises significantly on the initial days of the market opening, and the significant negative Wednesday effect shows that expected stock market volatility fall through Wednesday-Friday. Moreover, the study reveals the fact on options expiration, the evidence shows that India VIX fall significantly on the day of expiration of European call and put options. The March and December months have reported significant negative impact on the volatility index. Certainly, this kind of results holds practical implication for volatility traders, and helps to the market participant in hedging and pricing of options.
Imlak Shaikh; Puja Padhi. The Behavior of Option’s Implied Volatility Index: a Case of India VIX. Business: Theory and Practice 2015, 16, 149 -158.
AMA StyleImlak Shaikh, Puja Padhi. The Behavior of Option’s Implied Volatility Index: a Case of India VIX. Business: Theory and Practice. 2015; 16 (2):149-158.
Chicago/Turabian StyleImlak Shaikh; Puja Padhi. 2015. "The Behavior of Option’s Implied Volatility Index: a Case of India VIX." Business: Theory and Practice 16, no. 2: 149-158.
This study investigates the contemporaneous inter-temporal relationship between implied volatility index and stock returns. The empirical evidence reveals that an asymmetry prevails among India VIX and the Nifty index; at the same time, the magnitude of asymmetry is not identical. The results show that the change in India VIX occurs bigger for the negative return shocks than that of positive return shocks. The empirical model described that long-run inter-temporal contemporaneous relation persists between the implied volatility and stock market returns. Moreover, the cross correlation has supported the past literature that current values of change in volatility and stock returns are negatively correlated, and past and current stock returns are positively associated with the future stock market volatility. The magnitude of the change of volatility in response to the return variation, one can use that level of changes as one of the inputs for the pricing of future options.
Imlak Shaikh; Puja Padhi. Inter-temporal relationship between India VIX and Nifty equity index. DECISION 2014, 41, 439 -448.
AMA StyleImlak Shaikh, Puja Padhi. Inter-temporal relationship between India VIX and Nifty equity index. DECISION. 2014; 41 (4):439-448.
Chicago/Turabian StyleImlak Shaikh; Puja Padhi. 2014. "Inter-temporal relationship between India VIX and Nifty equity index." DECISION 41, no. 4: 439-448.
In this paper, we investigate the forecasting performance of ex-post an ex-ante volatility forecasts against realized return volatility of various time horizon. The competing volatility forecasts are implied volatility, RiskMetrics and GJR-GARCH; the empirical results uncover that implied volatility dominates the other volatility forecast in the prediction of future realized return volatility. The in-sample forecast suggests that ex-ante volatility best explains the future market volatility. The non-overlapping sampling procedure gives the more robust estimate of volatility forecasts, the results reveals that implied volatility forecasts of all horizon appears positive unbiased forecaster of realized volatility. Moreover, the instrumental variable estimation in the presence of error-in-variable clears that implied volatility is free from measurement error; OLS estimates remains more consistent than the 2SLS estimates. The information content of implied volatility encourages the exchanges to construct the implied volatility indices and volatility products on underlying volatility index.
Imlak Shaikh; Puja Padhi. The forecasting performance of implied volatility index: evidence from India VIX. Economic Change and Restructuring 2014, 47, 251 -274.
AMA StyleImlak Shaikh, Puja Padhi. The forecasting performance of implied volatility index: evidence from India VIX. Economic Change and Restructuring. 2014; 47 (4):251-274.
Chicago/Turabian StyleImlak Shaikh; Puja Padhi. 2014. "The forecasting performance of implied volatility index: evidence from India VIX." Economic Change and Restructuring 47, no. 4: 251-274.
This study examines the impact of scheduled macroeconomic announcements on the option’s implied volatility index in the emerging market. The macroeconomic indicators considered are RBI monetary policy statements, the consumer price index, wholesale price index, index of industrial production, the employment rate and gross domestic product (GDP growth rate). The study reveals that during non-announcement periods the implied volatility index (India VIX) increases significantly. Once results are announced, uncertainty is resolved and the India VIX returns to normal levels. It confirms that the India VIX declines significantly following scheduled GDP news, but rises significantly on the announcement of monthly inflation rates (WPI). Indeed, the joint effect of the announcements relating to monetary policy, the industrial output, employment rate and GDP is found to be statistically significant (and negative). JEL Classification: E52, E58, G12, G14
Imlak Shaikh; Puja Padhi. Macroeconomic Announcements and the Implied Volatility Index: Evidence from India VIX. Margin: The Journal of Applied Economic Research 2013, 7, 417 -442.
AMA StyleImlak Shaikh, Puja Padhi. Macroeconomic Announcements and the Implied Volatility Index: Evidence from India VIX. Margin: The Journal of Applied Economic Research. 2013; 7 (4):417-442.
Chicago/Turabian StyleImlak Shaikh; Puja Padhi. 2013. "Macroeconomic Announcements and the Implied Volatility Index: Evidence from India VIX." Margin: The Journal of Applied Economic Research 7, no. 4: 417-442.