Eleonora Fois
The “Surprise Effect” of Macro Indicators on the Options Implied Volatilities Dynamics: A Test on the United States-Germany Relationship
ZEDDA, STEFANO
2017-01-01
Abstract
This paper analyzes the “surprise effect” of some macroeconomic indicators on the US and Germany stock indexes options implied volatility, by means of a VAR model and IRFs between the two volatility indexes. Results show a significant influence of some specific macroeconomic “surprise effects” so that the US volatility has a positive influence on the German one, but not vice versa . With reference to the first considered period, January 2008-May 2012, characterized by higher volatility, the German market analysis shows a direct link between the “surprise effect” of the IFO Business Climate Index and the VDAX-NEW index changes. As regard the second time period (June 2012- December 2014), characterized by lower volatility, the significant macro “surprise effects” are related to the industrial sector (US Retail Sales, German Producer Price) and the job market (US Non-Farm Payroll). These results on the linkages between the macro “surprise effects” and the volatility indexes can be useful for implementing more effective short-term speculative and hedging strategies, based on the “surprise effect” direction and his link with the volatility index.File | Dimensione | Formato | |
---|---|---|---|
Surprise effect ME.pdf accesso aperto
Descrizione: Articolo come pubblicato
Tipologia: versione editoriale
Dimensione 617.64 kB
Formato Adobe PDF
|
617.64 kB | Adobe PDF | Visualizza/Apri |
I documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.