Asymmetric Effects of Volatility Risk on Stock Returns: Evidence from VIX and VIX Futures

Autor:	Xi Fu, Matteo Sandri, Mark B. Shackleton
Rok vydání:	2016
Předmět:	040101 forestry Economics and Econometrics 050208 finance Financial economics 05 social sciences 04 agricultural and veterinary sciences General Business Management and Accounting Accounting 0502 economics and business Economics 0401 agriculture forestry and fisheries Capital asset pricing model Volatility risk Volatility (finance) Futures contract Finance Stock (geology) Market conditions
Zdroj:	Journal of Futures Markets. 36:1029-1056
ISSN:	0270-7314
DOI:	10.1002/fut.21772
Popis:	First, to separate different market conditions, this study focuses on how VIX spot (VIX), VIX futures (VXF), and their basis (VIX-VXF) perform different roles in asset pricing. Secondly, this study decomposes the VIX index into two parts, volatility calculated from out-of-the-money call options and volatility calculated from out-of-the-money put options. The analysis shows that out-of-the-money put options capture more useful information in predicting future stock returns.
Databáze:	OpenAIRE
Externí odkaz:	https://explore.openaire.eu/search/publication?articleId=doi_________::771da05f5fb787337eb63076c51ee3e0 https://doi.org/10.1002/fut.21772 Zobrazit plný text záznamu Plný text ve formátu PDF Plný text ve formátu HTML
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