The volatility index and volatility risk premium in China

About this item

Title

The volatility index and volatility risk premium in China

Content partner

University of Otago

Collection

Otago University Research Archive

Description

We introduce the China Volatility Index (CNVIX), a model-free volatility index for the Chinese equity market based on ETF options. To construct the CNVIX, we extend the Chicago Board Options Exchange (CBOE) methodology in the emerging Chinese options market. We examine the leverage effect and volatility feedback effect between the CNVIX and the underlying asset, as well as the CNVIX’s return forecastability. Our findings indicate a significant negative asymmetric leverage effect, insignifican...

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Format

Research paper

Research format

Scholarly text / Journal article

Thesis level

Article

Date created

2023-10-01

Creator

Yue, Tian / Ruan, Xinfeng / Gehricke, Sebastian / Zhang, Jin E.

URL

https://hdl.handle.net/10523/20654

Related subjects

China / Emerging option market / ETF Options / Model-free Volatility Index / Volatility Risk Premium

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