Publication Type:

Conference Paper

Source:

2017 International Conference on Data Management, Analytics and Innovation (ICDMAI) (2017)

Keywords:

Business Confidence Index, Business Confidence Index (BCI), Commerce, Domestic Institutional Investors, Domestic Institutional Investors (DII), economic indicators, Employment, Foreign Institutional Investors, Foreign Institutional Investors (FII), Granger Causality, Implied volatility, Indexes, India VIX, India's implied volatility index, IndiaVIX, investment, macroeconomics, purchasing, Purchasing Managers Index, Purchasing Managers Index (PMI), stock markets, Time series analysis

Abstract:

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.

Cite this Research Publication

K. K. Pranesh, Dr. P. Balasubramanian, and Mohan, D., “The Determinants of India's Implied Volatility Index”, in 2017 International Conference on Data Management, Analytics and Innovation (ICDMAI), 2017.