KEPE: Reduction of the ‘Fear’ index in May

Reduction of business uncertainty for the expected short-term course of the Greek market was recorded in May by the “Fear” Index compiled by KEPE, in relation to the end of the previous month and with fluctuations within the month.

KEPE compiles and publishes on a monthly basis two innovative and specialized indicators with the aim of regularly monitoring the economic situation. Today, KEPE announced the May 2022 estimates for the Composite Leadership Index and the “Fear” Index.

Advanced KEPE Advance Index

It is a Composite Leadership Index (ADR), based on a dynamic factor model, constructed using six selected monthly economic variables with lead characteristics. It provides precursors for the course and the transformations in the Greek economic activity, before their imprinting in the current sizes of the total economic activity.

According to the most recent observation for February 2022, the SDP fell, following the rise of the previous reference period, which had brought the index very close to the 2007 levels, the highest recorded for the overall examination period. This development may be related to the intermediate volatility that often characterizes SBS. However, it may reflect an adverse shift in participants’ expectations and assessments of economic activity, providing a precursor to deteriorating future economic conditions. On this basis, the decline in the SDP may reflect the negative effects on the Greek economy of a series of international developments concerning supply chain anchorages and inflationary pressures as a whole, but mainly in the energy sector, and are associated with the pandemic and the war in Ukraine. In any case, the specific circumstances prevailing make it necessary to re-evaluate the SBS in order to obtain additional evidence. The incorporation of new data is expected to indicate the continuation or not of the observed trends regarding the course of future domestic economic activity.

“Fear” indicator KEPE GRIV

The imputed volatility index KEPE GRIV or “fear” index reflects the uncertainty of the derivatives market participants for the expected short-term course of the Greek market and is calculated based on the prices of the options of the FTSE / XA Large Cap index. The price of the KEPE GRIV index in May 2022 reached 33.00% on 31/5/2022 from 33.72% on 29/4/2022. It is noted that the average daily value of the index decreased in May 2022 reaching 32.62% from 34.73% in April 2022. The index moved higher than its historical average (since January 2004) for the Greek market, which is at 32.65%. The evolution of the index reflects a decrease in uncertainty for the expected short-term course of the Greek market compared to the end of the previous month, with fluctuations within the month.

SOURCE: ΑΠΕ-ΜΠΕ

Source: Capital

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