Η επίδραση των ανακοινώσεων στους χρηματιστηριακούς δείκτες των Η.Π.Α. και στους δείκτες τεκμαρτής μεταβλητότητας
KeywordsΤεκμαρτή μεταβλητότητα ; Διάχυση της μεταβλητότητας ; Ανακοινώσεις μακροοικονομικών μεταβλητών ; Δείκτες τεκμαρτής μεταβλητότητας ; Μεταβλητή αιφνιδιασμού
Accurate measurement of volatility is of great importance to both academic and financial market participants, as it is important for risk measurement by specific methodologies, diversification of investment portfolios, as recognition of buying and selling opportunities and valuation of particular financial derivatives related to it. This dissertation investigates the role of scheduled news announcements in explaining the transmission of stock market volatility across U.S. markets. Based on a set of widely followed implied volatility indices, we show that implied volatility spillovers exist within U.S. markets. In addition, to investigate the impact of the announcements on implied volatility indices, we construct a surprise variable for scheduled announcements of various macroeconomic variables in U.S. Our results suggest that scheduled news announcements explain partially the reported volatility spillovers as they are due to other factors, most likely in unscheduled news announcements as has been shown in other studies. Nevertheless, volatility linkages remain significant even after we control for the effect of news announcements, either aggregate or individually for each macroeconomic variable.