Abstract
This paper analyzes the “surprise effect” of some macroeconomic indicators on the US and Germany stock indexes options implied volatility, by means of a VAR model and IRFs between the two volatility indexes. Results show a significant influence of some specific macroeconomic “surprise effects” so that the US volatility has a positive influence on the German one, but not vice versa. With reference to the first considered period, January 2008-May 2012, characterized by higher volatility, the German market analysis shows a direct link between the “surprise effect” of the IFO Business Climate Index and the VDAX-NEW index changes. As regard the second time period (June 2012-December 2014), characterized by lower volatility, the significant macro “surprise effects” are related to the industrial sector (US Retail Sales, German Producer Price) and the job market (US Non-Farm Payroll). These results on the linkages between the macro “surprise effects” and the volatility indexes can be useful for implementing more effective short-term speculative and hedging strategies, based on the “surprise effect” direction and his link with the volatility index.
Highlights
Several researches have studied the possible relation between some macroeconomic variables and the pricing dynamic of some instruments listed on financial markets
Results show a significant influence of some specific macroeconomic “surprise effects” so that the US volatility has a positive influence on the German one, but not vice versa
With reference to the first considered period, January 2008-May 2012, characterized by higher volatility, the German market analysis shows a direct link between the “surprise effect” of the IFO Business Climate Index and the VDAX-NEW index changes
Summary
Several researches have studied the possible relation between some macroeconomic variables and the pricing dynamic of some instruments listed on financial markets. We firstly analyzed the linkages between the two volatility indexes, by means of a vector autoregressive model (VAR), for testing for any connections between the volatility indexes, and for evaluating the possible links between these indexes and the foreign surprise effects. In this way, the German volatility dynamic was examined with reference to both the domestic “surprise effects” and the influence of the US volatility index, showing that the VIX index influences the VDAX-NEW index. A second analysis is performed by means of two designed equations, based on the previous results, and tested on two time periods characterized by high and low volatility, The reminder of the paper is organized as it follows: Section 2 is devoted to the related literature, Section 3 describes the dataset, Section 4 presents the preliminary analysis and the econometric approach, Section 5 reports the empirical results and Section 6 concludes
Sign-in/Register to view highlights & summary Sign-in/Register to access full text options 
Free) 
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Schedule a call
