Author: Florian Auinger Publisher: ISBN: 9783658089702 Category : Languages : en Pages :
Book Description
Florian Auinger highlights the core weaknesses and sources of criticism regarding the VIX Index as an indicator for the future development of financial market volatility. Furthermore, it is proven that there is no statistically significant causal relationship between the VIX and the S&P 500. As a consequence, the forecastability is not given in both directions. Obviously, there must be at least one additional variable that has a strong influence on market volatility such as emotions which, according to financial market experts, are considered to play a more and more important role in investment decisions. Contents Risk and Emotions Financial Market Volatility Behavioural Finance VIX Index Target Groups Researchers and students in the fields of risk management, portfolio management and investment banking Practitioners in these areas The Author Florian Auinger wrote his master thesis at the University of Applied Sciences in Steyr, Upper Austria and is currently working in the fields of mergers & acquisitions.
Author: Florian Auinger Publisher: Springer ISBN: 3658089695 Category : Business & Economics Languages : en Pages : 102
Book Description
Florian Auinger highlights the core weaknesses and sources of criticism regarding the VIX Index as an indicator for the future development of financial market volatility. Furthermore, it is proven that there is no statistically significant causal relationship between the VIX and the S&P 500. As a consequence, the forecastability is not given in both directions. Obviously, there must be at least one additional variable that has a strong influence on market volatility such as emotions which, according to financial market experts, are considered to play a more and more important role in investment decisions.
Author: Sotirios Karagiannis Publisher: ISBN: Category : Languages : en Pages : 14
Book Description
This study investigates the lead-lag relationship between the price movements of VIX futures and VIX index levels. As a proxy for the futures, the front month VIX futures contract is used. A Johansen cointegration approach with a vector error correction model and Granger causality analysis are applied. The results suggest that VIX futures lead spot VIX index, which implies that VIX futures market seems to play a more important role in price discovery.
Author: Irena Vodenska Publisher: ISBN: Category : Languages : en Pages : 27
Book Description
We study the VIX Index, often referred to as “the investor's fear gauge,” relative to the observed volatility of the S&P 500 Index to investigate the relationship between these two measures of financial markets variability and to understand the directionality of their influence on one another. Calculated as a weighted average of put and call options on the S&P 500 Index, the VIX is considered as a forecasting indicator of the S&P 500 Index's volatility over a one-month period. We examine the daily VIX and S&P 500 Index volatility data for the 20-year period between 1990 and 2009 and find that VIX lags the S&P 500 one-month volatility for the period that we study. Furthermore, we analyze the VIX Index and the S&P 500 volatility for different time periods, when the financial markets exhibit: (i) higher level of stability with volatility below two standard deviations from the mean and (ii) lower stability regimes, with volatilities above two standard deviations from the mean. We find that in general, the VIX overestimates the S&P 500 Index volatility during the stable financial market regimes, and underestimates the S&P 500 Index volatility throughout high volatility periods.
Author: Fotini Economou Publisher: Academic Press ISBN: 0128112530 Category : Business & Economics Languages : en Pages : 516
Book Description
The Handbook of Investors' Behavior during Financial Crises provides fundamental information about investor behavior during turbulent periods, such the 2000 dot com crash and the 2008 global financial crisis. Contributors share the same behavioral finance tools and techniques while analyzing behaviors across a variety of market structures and asset classes. The volume provides novel insights about the influence and effects of regional differences in market design. Its distinctive approach to studies of financial crises is of key importance in our contemporary financial landscape, even more so since the accelerated process of globalization has rendered the outbreak of financial crises internationally more commonplace compared to previous decades. Encompasses empirical, quantitative and regulation-motivated studies Includes information about retail and institutional investor behavior Analyzes optimal financial structures for the development and growth of specific regional economies
Author: Sharma, Renuka Publisher: IGI Global ISBN: 1668455307 Category : Business & Economics Languages : en Pages : 496
Book Description
For the first time since the Great Depression, financial market issues threatened to derail global economic growth. This global financial crisis forced a reconsideration of systemic vulnerabilities with knowledge of numerous investment options and portfolio management strategies becoming more critical than ever before. A complete study of investment choices and portfolio management approaches in both the developing and developed worlds is required to achieve stability and sustainability. The Handbook of Research on Stock Market Investment Practices and Portfolio Management gives a thorough view on the recent developments in investment options and portfolio management strategies in global stock markets. Learning about the many investment options and portfolio management strategies available in the event of a worldwide catastrophe is critical. Covering topics such as AI-based technical analysis, marketing theory, and sharing economy, this major reference work is an excellent resource for investors, traders, economists, business leaders and executives, marketers, students and faculty of higher education, librarians, researchers, and academicians.
Author: Michael McAleer Publisher: MDPI ISBN: 3038974439 Category : Business & Economics Languages : en Pages : 536
Book Description
Risk measures play a vital role in many subfields of economics and finance. It has been proposed that risk measures could be analysed in relation to the performance of variables extracted from empirical real-world data. For example, risk measures may help inform effective monetary and fiscal policies and, therefore, the further development of pricing models for financial assets such as equities, bonds, currencies, and derivative securities.A Special Issue of “Risk Measures with Applications in Finance and Economics” will be devoted to advancements in the mathematical and statistical development of risk measures with applications in finance and economics. This Special Issue will bring together the theory, practice and real-world applications of risk measures. This book is a collection of papers published in the Special Issue of “Risk Measures with Applications in Finance and Economics” for Sustainability in 2018.
Author: David E. Allen Publisher: ISBN: Category : Languages : en Pages : 18
Book Description
The paper features an analysis of causal relations between the VIX, S&P500, and the realised volatility (RV) of the S&P500 sampled at 5 minute intervals, plus the application of an Artificial Neural Network (ANN) model to forecast the VIX. Causal relations are analysed using the recently developed concept of general correlation Zheng et al. (2012) and Vinod (2017). The neural network analysis is performed using the Group Method of Data Handling (GMDH) approach. The results suggest that causality runs from lagged daily RV and lagged continuously compounded return on the S&P500 index to the VIX. Out of sample tests suggest an ANN model can successfully predict the VIX using lagged RV and lagged S&P500 Index continuously compounded returns as inputs.
Author: Athanasios Fassas Publisher: ISBN: Category : Languages : en Pages : 19
Book Description
The current paper tests and documents the relationship between the term structure of VIX futures and the underlying equity returns. Furthermore, it investigates the signaling effects of VIX futures term structure in respect to future stock index movements. The objective of this empirical analysis is to verify if a steep upward-sloping term structure indicates a late phase of a bullish trend and conversely if an extreme negative term structure suggests an over-sold market, as certain market participants believe.The empirical findings of this study suggest that there is a strong statistical significant positive contemporaneous relationship between the changes in the VIX futures term structure and the returns of the underlying equity index. Finally, the econometric analysis lends some support to the hypothesis that the term structure of VIX futures can be used as a contrarian indicator for investing in the equity market.
Author: Florian Auinger
Author: Florian Auinger
Author: Sotirios Karagiannis
Author: Irena Vodenska
Author: Fotini Economou
Author: Sharma, Renuka
Author: Michael McAleer
Author: David E. Allen
Author: Athanasios Fassas
Author: Erkan USTAOĞLU