The Determinants of India's Implied Volatility Index

被引：0
|
作者：
Pranesh, Kiran K. [1 ,2 ]
Balasubramanian, P. [1 ,2 ]
Mohan, Deepti [1 ,2 ]
机构：
[1] Amrita Sch Business, Coimbatore, Tamil Nadu, India
[2] Amrita Vishwa Vidyapeetham Univ, Coimbatore, Tamil Nadu, India
来源：
2017 1ST IEEE INTERNATIONAL CONFERENCE ON DATA MANAGEMENT, ANALYTICS AND INNOVATION (ICDMAI) | 2017年
关键词：
Implied volatility; Purchasing Managers Index (PMI); Business Confidence Index (BCI); Foreign Institutional Investors (FII); Domestic Institutional Investors (DII); India VIX;
D O I：
暂无
中图分类号：
TP18 [人工智能理论];
学科分类号：
081104 ; 0812 ; 0835 ; 1405 ;
摘要：
This study examines the determinants of India's implied volatility index (VIX). The factors considered are Purchasing Managers Index (PMI), Business Confidence Index (BCI), Net activity of Foreign Institutional Investors (FII) and Net activity of Domestic Institutional Investors (DII). In this study Granger causality is used to find whether these factors cause IndiaVIX. This study confirms that only BCI has significant and positive impact with IndiaVIX and other factors such as PMI, FII and DII do not have any significant impact on India VIX. The results show that FII has a significant and negative impact on DII and hence these two factors do not have a significant impact on IndiaVIX.
引用
收藏
页码：312 / 315
页数：4
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