I post here an abstract of a paper on IndiaVIX which is under review of Indian Journal of Finance coauthored by myself, Dr D Raghunatha Reddy of JNTU SMS, Dr TNL Prasad , DGM ( Finance ) of NCC.
INDIA VIX: Examining the Negative and Asymmetric
Volatility Index – Market Return Relationship
This paper examines the behavior of
India Volatility Index (India VIX). We
study two aspects: First, the negative correlation between changes in India VIX and
market returns. Second, the asymmetric nature of the changes in India VIX with respect
to market returns. S&P CNX NIFTY Index has been used as a proxy for the
market and the study period covers March 2009 through November 2011. Using OLS
Regression method on daily data this study finds an inverse relation between
movements in India
VIX and movements in the NIFTY. The study reveals the asymmetric nature of the
Volatility Index- Market Return relationship. This study is useful for
understanding the behavior of India
VIX and helps policymakers in the design of appropriate instruments based on India VIX for
hedging and risk management.
Keywords: Volatility Index,
Hedging, Derivatives, Indian Stock market
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