Asymmetric Effects of Volatility Risk on Stock Returns: Evidence from VIX and VIX Futures
Asymmetric Effects of Volatility Risk on Stock Returns: Evidence from VIX and VIX Futures
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Hoboken: Blackwell Publishing Ltd
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Language
English
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Publisher
Hoboken: Blackwell Publishing Ltd
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Contents
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...
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Full title
Asymmetric Effects of Volatility Risk on Stock Returns: Evidence from VIX and VIX Futures
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TN_cdi_proquest_journals_1826492164
Permalink
https://devfeature-collection.sl.nsw.gov.au/record/TN_cdi_proquest_journals_1826492164
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ISSN
0270-7314
E-ISSN
1096-9934
DOI
10.1002/fut.21772
