The purpose of this paper is to understand the relationship between supply chain sources and supply chain risk exposure. The relationship of supply chain risk sources viz. demand risk, supply risk, process/control risk, environmental risk, logistical and catastrophic risks with supply chain risk...

This study investigates the information content of RBI’s monetary policy and macroeconomic announcements and its impact on the implied volatility index. The empirical findings suggest that implied volatility (VIX) increases prior to the scheduled macroeconomic announcements. This study takes...

This article investigates the cointegration level, and changes in the existence and direction of causality among volatilities. Vector autoregressive (VAR) model enables us to conduct Granger-causality and impulse response analysis, and determine the pattern of causality. The empirical findings...

In this paper, we investigate the forecasting performance of ex-post an ex-ante volatility forecasts against realized return volatility of various time horizon. The competing volatility forecasts are implied volatility, RiskMetrics and GJR-GARCH; the empirical results uncover that implied...

The paper aims to examine implied volatility as the investor fear gauge or/and forward-looking expectation of future stock market volatility within emerging markets setting-India VIX. The earliest results evidenced that VIX is the gauge of investor fear, where in the expected stock market...

This study examines the information content of implied volatility, using the options of the underlying S&P CNX Nifty index. In this study, implied, historical and realized volatilities are calculated using non-overlapping monthly at-the-money samples. The study covers the period from...

This study examines the impact of scheduled macroeconomic announcements on the option’s implied volatility index in the emerging market. The macroeconomic indicators considered are RBI monetary policy statements, the consumer price index, wholesale price index, index of industrial...