首页 | 本学科首页   官方微博 | 高级检索  
     


Impact of macroeconomic announcements on implied volatility slope of SPX options and VIX
Affiliation:1. Turkish Industry and Business Association, Mesrutiyet Cad. No: 46 Tepebasi, Istanbul, Turkey;2. Bilkent University, Bilkent Üniversitesi, Ankara, Turkey;1. Griffith Business School, Griffith University, 170 Kessels Road, Nathan, Queensland 4111, Australia;2. Chair of Finance and Capital Market Theory, Europa-University Viadrina, Große Scharrnstraße 59, 15230 Frankfurt (Oder), Germany;1. São Paulo School of Economics, Fundacao Getulio Vargas, Brazil;2. School of Economics and Finance, Queen Mary University of London, United Kingdom;3. Department of Economics, Pontifical Catholic University of Rio de Janeiro, Brazil;4. Australian School of Business, University of New South Wales, Australia;1. Central University of Finance and Economics, China;2. Zhejiang University, China;1. Russian Science Academy, Ural Branch, Institute of Philosophy and Law, 16 Kovalevskaya Str., Yekaterinburg 620990, Russia;2. Ernst & Young LLC, Sadovnicheskaya Str. 82, Building 2, Moscow 115035, Russia;1. Washington College, 300 Washington Avenue, Chestertown, MD 21620, United States;2. Rutgers Business School-Newark and New Brunswick, Rutgers University, 1 Washington Park, Newark, NJ 07102, United States
Abstract:This paper examines the impact of macroeconomic announcements on the high-frequency behavior of the observed implied volatility skew of S&P 500 index options and VIX. We document that macroeconomic announcements affect VIX significantly and slope at a lesser extent. We also find evidence that good and bad announcements significantly and asymmetrically change implied volatility slope and VIX.
Keywords:Volatility skews  Slope  S&P 500 index options  VIX  Macroeconomic announcements
本文献已被 ScienceDirect 等数据库收录!
设为首页 | 免责声明 | 关于勤云 | 加入收藏

Copyright©北京勤云科技发展有限公司  京ICP备09084417号