Author(s):
Karam Pal Narwal, Purva Chhabra
Email(s):
karampalhsb@gmail.com , purvachhabra4@gmail.com
DOI:
10.5958/2321-5763.2018.00153.1 
Address:
Prof Karam Pal Narwal1, Purva Chhabra2
1Professor, Haryana School of Business, Guru Jambheshwar University of Science and Technology, Hisar- 125001, Haryana, India.
2Research Scholar, Haryana School of Business, Guru Jambheshwar University of Science and Technology, Hisar-125001, Haryana, India,
*Corresponding Author
Published In:
Volume - 9,
Issue - 2,
Year - 2018
ABSTRACT:
The purpose of this paper is to provide a comprehensive synthesis of past studies regarding the informational content of broad set of volatility indices and reviews the up-to-date empirical and theoretical research studies of last five decades. The literature review reports that overall volatility indices outperform predictions based on the historical volatility measures to predict future realized volatility; also it can be considered as a risk management tool and as a technical analysis indicator to predict future realized and returns, and there is evidence of volatility contagion and spillovers between developed and developing countries which help in international diversification. The present review paper reflects the importance of implied volatility index in investment, asset pricing, security valuation, risk management and monetary policy making. This article presents the most recent research on implied volatility indices and gives a bird’s eye view to the novice researchers in this area.
Cite this article:
Karam Pal Narwal, Purva Chhabra. An Insight of Implied Volatility Vis-a-Vis its Informational Efficiency, Association with Underlying Assets and Spillovers Effects. Asian Journal of Management. 2018; 9(2):967-977. doi: 10.5958/2321-5763.2018.00153.1
Cite(Electronic):
Karam Pal Narwal, Purva Chhabra. An Insight of Implied Volatility Vis-a-Vis its Informational Efficiency, Association with Underlying Assets and Spillovers Effects. Asian Journal of Management. 2018; 9(2):967-977. doi: 10.5958/2321-5763.2018.00153.1 Available on: https://ajmjournal.com/AbstractView.aspx?PID=2018-9-2-17