The Growth of Uncertainty due to Macroeconomic Announcements and Share Pricing

Student: Azaryan Radames

Supervisor: Sergey Victorovich Gelman

Faculty: International College of Economics and Finance

Educational Programme: Financial Economics (Master)

Year of Graduation: 2017

In this paper we examined the behavior of uncertainty measures (implied volatility, Delta, Gamma, Vega) during macroeconomics events and their influence on asset pricing. The usage of ”Greeks” allowed us to bring more certainty into uncertainty. We also attempted to forecast returns using these measures.

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