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

Fu, Xi ORCID: 0000-0003-4254-6493, Sandri, Matteo and Shackleton, Mark B (2016) Asymmetric Effects of Volatility Risk on Stock Returns: Evidence from VIX and VIX Futures. Journal of Futures Markets, 36 (11). pp. 1029-1056.

Text Accepted Version.pdf - Unspecified Download (1MB)

Abstract

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.

Item Type:	Article
Subjects:	?? HG ??
Depositing User:	Symplectic Admin
Date Deposited:	11 Feb 2016 09:30
Last Modified:	16 Dec 2022 01:23
DOI:	10.1002/fut.21772
Related URLs:	Author Publisher
URI:	https://livrepository.liverpool.ac.uk/id/eprint/2047439