An Investor Sentiment Barometer – Greek Implied Volatility Index (GRIV)

Siriopoulos, Costas and Fassas, Athanasios


In this paper a new measure of Greek stock market volatility based on the implied volatility of FTSE/ATHEX-20 index options is proposed. Greek Implied Volatility Index is calculated using the model-free methodology that involves option prices summations and is independent from the Black and Scholes pricing formula. The specific method is applied for the first time in a peripheral and illiquid market as the Athens Exchange.

The empirical findings of this paper show that there is a statistically significant negative and asymmetric contemporaneous relationship between implied volatility changes and the underlying equity index returns. Finally, the volatility transmission effects on the Greek stock exchange from two leading markets, namely the New York Stock Exchange and the Deutsche Börse, are tested and documented.


by Adamou Christina


The futures trading effect on the volatility of the underlying assets and its characteristics, is debated among practitioners as well as in the economic literature. The target of this study is to examine how the derivatives’ listing affects the volatility and the efficiency of the Hellenic, the U.K., the Italian and the German Stock Exchange Market. The main issues that this study addresses are two: firstly, this study examines how the derivatives’ listing in the post-futures period affects the volatility of the underlying spot markets and yet which one appears to be the most efficient and stable compared to the other stock markets. Secondly, it examines whether there are other market factors that are likely to affect the volatilities of the corresponding spot markets. The results that we obtained from our study suggest that after the stock index futures introduction per se, the volatility of the underlying stock market is reduced and consequently futures’ listing had a stabilizing role. Furthermore, the results imply that there are other market factors that are likely to affect the volatilities of the underlying markets. Finally, the outcomes of our study are in accordance with the theories that state that the developed and active future markets augment the efficiency of the spot market.

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