Publication:
Volatility after-effects: evidence from the field

dc.contributor.advisor Payzan LeNestour, Elise en_US
dc.contributor.author Pradier, Lionnel en_US
dc.date.accessioned 2022-03-22T16:47:27Z
dc.date.available 2022-03-22T16:47:27Z
dc.date.issued 2017 en_US
dc.description.abstract Following recent empirical evidence of volatility “after-effects” in the laboratory, we investigate whether investors’ perception of volatility is biased after prolonged exposure to extreme level of volatility. Using VIX as a measure of perceived volatility and daily realised volatility as a measure of actual volatility, we find strong after-effects in the perception of volatility. The effect is stronger, the larger and longer the volatility regime. These results are consistent with both the after-effect theory and the laboratory experiment. Furthermore, we find that the effect is asymmetric due to the absence of sufficiently low volatility regimes in the field. Taken together, these results suggest that investors are subject to perceptual biases that have a significant impact on traded volatility. en_US
dc.identifier.uri http://hdl.handle.net/1959.4/59586
dc.language English
dc.language.iso EN en_US
dc.publisher UNSW, Sydney en_US
dc.rights CC BY-NC-ND 3.0 en_US
dc.rights.uri https://creativecommons.org/licenses/by-nc-nd/3.0/au/ en_US
dc.subject.other Volatility en_US
dc.subject.other After-effect en_US
dc.subject.other Perception bias en_US
dc.subject.other VIX en_US
dc.subject.other Realised volatility en_US
dc.title Volatility after-effects: evidence from the field en_US
dc.type Thesis en_US
dcterms.accessRights open access
dcterms.rightsHolder Pradier, Lionnel
dspace.entity.type Publication en_US
unsw.accessRights.uri https://purl.org/coar/access_right/c_abf2
unsw.identifier.doi https://doi.org/10.26190/unsworks/20233
unsw.relation.faculty Business
unsw.relation.originalPublicationAffiliation Pradier, Lionnel, Banking & Finance, Australian School of Business, UNSW en_US
unsw.relation.originalPublicationAffiliation Payzan LeNestour, Elise, Banking & Finance, Australian School of Business, UNSW en_US
unsw.relation.school School of Banking & Finance *
unsw.thesis.degreetype Masters Thesis en_US
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