Author(s)

Palamalai Srinivasan^1*, R. D. Vasudevan²

¹Xavier Institute of Management & Entrepreneurship, Bangalore, Karnataka, India.
²Department of Management Studies, Anna University, Chennai, Tamil Nadu, India.

The present study examines the linkage between the change in implied volatility index and the underlying stock index return in the Indian stock market. The empirical results revealed that the contemporaneous return is the most important factor that determines the changes in the current India implied volatility. Besides, the empirical evidences confirm the negative asymmetry volatility-return relation, supporting the behavioral explanations (the affect and representativeness heuristics) rather than financial leverage hypothesis.

India Implied Volatility Index, Asymmetric Volatility-Return Relation, Fear and Greed Index

Srinivasan, P. and Vasudevan, R. (2017) Linkage between India Implied Volatility Index and Stock Index Returns. Theoretical Economics Letters, 7, 929-938. doi: 10.4236/tel.2017.74063.