An analysis between implied and realised volatility in the greek derivative market

This source preferred by George Filis

Authors: Filis, G.

http://eprints.bournemouth.ac.uk/20580/

Journal: Journal of Emerging Market Finance

Volume: 8

Issue: 3

Pages: 251-263

DOI: 10.1177/097265270900800301

In this article, we examine the relationship between implied and realised volatility in the Greek derivative market. We examine the differences between realised volatility and implied volatility of call and put options for at-the-money index options with a two-month expiration period. The findings provide evidence that implied volatility is not an efficient estimate of realised volatility. Implied volatility creates overpricing, for both call and put options, in the Greek market. This is an indication of inefficiency for the market. In addition, we find evidence that realised volatility ‘Granger causes’ implied volatility for call options, and implied volatility of call options ‘Granger causes’, the implied volatility of put options

This data was imported from Scopus:

Authors: Filis, G.

http://eprints.bournemouth.ac.uk/20580/

Journal: Journal of Emerging Market Finance

Volume: 8

Issue: 3

Pages: 251-263

eISSN: 0973-0710

ISSN: 0972-6527

DOI: 10.1177/097265270900800301

In this article, we examine the relationship between implied and realised volatility in the Greek derivative market. We examine the differences between realised volatility and implied volatility of call and put options for at-the-money index options with a two-month expiration period. The findings provide evidence that implied volatility is not an efficient estimate of realised volatility. Implied volatility creates overpricing, for both call and put options, in the Greek market. This is an indication of inefficiency for the market. In addition, we find evidence that realised volatility 'Granger causes' implied volatility for call options, and implied volatility of call options 'Granger causes', the implied volatility of put options.

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