Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/194706
Authors: 
Chakrabarti, Prasenjit
Kumar, K. Kiran
Year of Publication: 
2017
Citation: 
[Journal:] Cogent Economics & Finance [ISSN:] 2332-2039 [Volume:] 5 [Year:] 2017 [Issue:] 1 [Pages:] 1-16
Abstract: 
The study investigates whether behavioural theory is a superior explanation for short-term return-volatility relationship than traditional leverage and volatility feedback hypotheses. Using VAR and quantile regression frameworks, the study shows that behavioural theory explains the relationship better than the leverage and feedback hypotheses. The study supports that behavioural biases (representative, affect, extrapolation heuristics, etc.) exist among market participants, and these biases cause India Volatility Index (India VIX) to be an efficient hedge for extreme negative market movements.
Subjects: 
return-volatility relation
leverage hypothesis
volatility feedback hypothesis
affect heuristics
representative bias
extrapolation bias
JEL: 
G12
G13
G17
Persistent Identifier of the first edition: 
Creative Commons License: 
https://creativecommons.org/licenses/by/4.0/
Document Type: 
Article

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