Today the Reserve Bank of India positioned on its web site a Working Paper titled “Is Implied Volatility Index (VIX) A Forward-Looking Indicator of Stock Market Movements in India?” underneath the Reserve Bank of India Working Paper Series*. The paper is co-authored by Amarendra Acharya, Subrat Kumar Seet and Prakash A. Salvi. The paper examines the connection between the implied volatility index (VIX) and inventory market actions in India over the past decade. It finds that adverse returns within the inventory index generate bigger adjustments in implied volatility as in comparison with optimistic returns. The measurement of the return additionally influences the relative change within the implied volatility index. Further, it’s seen that greater ranges of volatility affect shopping for selections of the traders at a period of 20- and 60- days. Such behaviour signifies that the Indian inventory market is ahead-trying to an extent and resembles the sample noticed within the US. (Yogesh Dayal) Press Release: 2022-2023/893 |