Footnote:
In: Applied Financial Economics, Vol. 21, No. 21, 2011
Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments May 4, 2011 erstellt
Description:
While many studies analyze the impact of scheduled macroeconomic announcements on equity market volatility, few focus on the impact on option implied volatilities. In this study, we examine the link between German and U.S. macroeconomic events and the implied volatility indices VDAX and VIX. We find that both indices fall on announcement days, with the strongest reactions occurring during the financial crisis from 2008 to 2009. Further, we identify a volatility spillover effect and significant covariance clustering between VDAX and VIX