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20111
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Subject: Financial Management × Author: Anupriya Mongia × End date: 2013 × Type: Thesis × Thesis Type: M.Sc ×
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    ThesisItemOpen Access
    Performance of Trading Strategies Using Implied Volatility: A Study of S&P CNX Nifty
    (Punjab Agricultural University, 2011) Anupriya Mongia
    The present study “Performance Of Trading Strategies Using Implied Volatility: A Study Of S&P CNX Nifty” is an attempt to examine the profitability of moving average strategies with different durations and band widths using VIX which is an index reflecting Indian stock market volatility. In order to achieve the objectives, 3-year historical data is taken & trading strategies developed with 21 day, 42 day, 63 day, 100 day and 150 day moving average durations & Bollinger bands of 1σ, 2σ, 2% and 5%. It was found that there is no significant difference in returns at 5 percent level of significance between different MA strategies; however most of them give better returns than buy hold strategy. In case of different band widths, using ANOVA no significant difference is found in the various groups of different duration strategies except