EVI-Emerging Asia - EDHEC-Risk

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The Cross-sectional Distribution of Stock Returns • Important insight: we exploit the information content of the cross-sectional distribution of stock returns, i.e. the dispersion of stock returns at a given date, to design a novel form of a volatility indicator. • The performance of an index on a given date is a weighted average of the performance of the constituents. • Example: If an index goes down by 5%, is it the case that – All stocks went down by 5% (zero dispersion) – Half went down by 20% and half went up by 10%
1 Day Before Fukushima • The cross-sectional distribution of 450 Japanese large-cap stocks
Page 1 and 2: EDHEC-Risk Days Europe 2012 May 10,
Page 3 and 4: Outline • Volatility Indicators -
Page 5 and 6: Introduction • Information about
Page 7 and 8: Volatility Indices • Since inform
Page 9 and 10: Problems with Option-Implied Volati
Page 11: Introducing a New Volatility Index
Page 15 and 16: Cross-Sectional Volatility • We p
Page 17 and 18: • Volatility Indicators - Backgro
Page 19 and 20: Interpretations of CSV • Among al
Page 23 and 24: Methodology: Liquidity • Lack of
Page 25 and 26: Value-Added of Robustness 1.4 1.2 1
Page 27 and 28: Introducing EVI • The methodology
Page 31 and 32: Pan-Asian Volatility Indicators 1 0
Page 33 and 34: EVI-Developed Asia ex Japan vs VKOS
Page 35 and 36: Correlations between Asian Option-
Page 37 and 38: 1 0.8 0.6 0.4 0.2 0 -0.2 -0.4 -0.6
Page 39 and 40: Conclusions • We introduce a new

EVI-Emerging Asia - EDHEC-Risk

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