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Publication year
2007Publisher
Nijmegen : Economie
Series
NiCE Working paper ; 1
Number of pages
31 p.
Publication type
External research report

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Organization
Financiële economie en ondernemingsfinanciering
Molecular and Laser Physics
Subject
Nijmegen Centre for Economics; Relationship ManagementAbstract
This paper constructs an implied volatility index, the NZVIX, for the New Zealand stock market. Because there are no equity index options in New Zealand, we propose a new approach that uses stock options to construct an implied volatility index. Specifically, we use implied volatilities from four stock options to construct an implied volatility index for the NZX 15 Index. We find that the NZVIX has predictive power for future NZX 15 volatility and observe a significant negative relationship between NZVIX changes and NZX15 returns. Finally, we find a weak significant relation between lagged NZVIX changes and NZX 15 returns.
This item appears in the following Collection(s)
- Academic publications [205104]
- Electronic publications [103316]
- Faculty of Science [32347]
- Nijmegen School of Management [12948]
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