Construction and Properties of Volatility Index for Warsaw Stock Exchange

• Autorzy: Tomasz Karol Wiśniewski
• Języki publikacji: EN

Abstrakty

EN

Volatility indices became a important factors on capital markets and are considered as fear factors. First volatility index VIX, was defined for Chicago Board of Trade in 1993, and was developed in 2003. In next years we observed growing numbers of volatility indices on main capital market around of the world. There were more than 20 volatility indices on capital markets at the end of 2012. The aim of this study is construction of the volatility index considering to Warsaw Stock Exchange trading rules and market participants. We also test the "fear factor" properties of this index. (original abstract)

Słowa kluczowe

EN

Options; Capital market; Stock market indexes; Variability

PL

Opcje; Rynek kapitałowy; Indeks giełdowy; Zmienność

• Czasopismo: Metody Ilościowe w Badaniach Ekonomicznych / Szkoła Główna Gospodarstwa Wiejskiego
• Rocznik: 2014
• Tom: 15(XV)
• Numer: nr 1
• Strony: 218--223

Twórcy

autor

Tomasz Karol Wiśniewski

• GPW Warsaw Stock Exchange, Poland

Bibliografia

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