CBOE volatility index (VIX) and corporate market leverage
Cogent Economics & Finance, 2022 Our paper investigates the nexus between the CBOE Volatility Index (VIX) and the market leverage of firms listed on the US stock market. Analyzing the yearly database of non-financial US firms from 2000 to 2019, we find that an increase in the VIX index ...
Giang Thi Huong Vuong +2 more
doaj +5 more sources
Do implied volatilities of stock and commodity markets affect conventional & shariah indices differently? An evidence by OVX, GVZ and VIX [PDF]
Heliyon, 2023 The current study aims to investigate how index returns of conventional and shariah indices of the USA, Europe, and Asia are affected by changes in oil prices, gold prices, VIX, gold-VIX, and oil-VIX. In our investigation, we used the S&P 500, S&P Europe
Safika Praveen Sheikh +5 more
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Informational Content of the VIX Index: Dynamic Entropy Approach [PDF]
EntropyThe aim of this study is to thoroughly assess the informational content of the CBOE Volatility Index® (VIX® Index) in the context of various turbulent periods. The VIX Index is especially important from an investor perspective. It is often referred to as
Joanna Olbryś, Dawid Toczydłowski
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Has the VIX index been manipulated? [PDF]
Journal of Asset Management, 2018 Recently, an influential academic study and many lawsuits have claimed that the VIX index has been manipulated since 2008. In this paper, we construct a regression model with explanatory variables that are exogenous to the index and examine the model prediction errors.
Atanu Saha, Burton G Malkiel
exaly +2 more sources
Forecasting the direction of daily changes in the India VIX index using deep learning
IIMB Management Review, 2023 The VIX index is an indicator of the market's perception of risk, and an accurate forecast of the movements in VIX can be very useful for investment risk management.
Akhilesh Prasad +2 more
doaj +3 more sources
Asia-Pacific stock market return and volatility in the uncertain world: Evidence from the nonlinear autoregressive distributed lag approach. [PDF]
PLoS ONE, 2023 This paper examines the effects of three distinct groups of uncertainties on market return and volatility in the Asia-Pacific countries, including (i) the country-specific and US geopolitical risks; (ii) the US economic policy uncertainty; and (iii) the ...
Minh Phuoc-Bao Tran, Duc Hong Vo
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Replicating the CBOE VIX using a synthetic volatility index trading algorithm
Cogent Economics & Finance, 2019 This article tests whether a correlation exists between a stochastic synthetic volatility index (SVIX) and the Chicago Board Options Exchange (CBOE) volatility index (VIX) and assesses the success of the indicators’ application by pairing an undeveloped ...
Dayne Cary, Gary van Vuuren
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Forecasting stock indices with the COVID-19 infection rate as an exogenous variable [PDF]
PeerJ Computer Science, 2023 Forecasting stock market indices is challenging because stock prices are usually nonlinear and non- stationary. COVID-19 has had a significant impact on stock market volatility, which makes forecasting more challenging.
Mohammad Saha A. Patwary, Kumer Pial Das
doaj +3 more sources
Cross-sectional volatility index as a proxy for the VIX in an Asian market
Cogent Economics & Finance, 2017 We present a cross-sectional volatility index (CSV) applied to an Asian market as an alternative to the VIX. One problem with the construction of a VIX-styled index is that it depends on the price of calls and puts, however, the CSV index may be applied ...
Futeri Jazeilya Md Fadzil +2 more
doaj +2 more sources
The impact and profitability of day trading following the relaxation of day trading restrictions in Taiwan [PDF]
Heliyon, 2023 The relaxation of day trading restrictions in Taiwan at the start of 2016 resulted in a significant increase in day trading volume, which piqued our interest in researching the impact and profitability of day trading, expected (unexpected) day trading ...
Wan-Hsiu Cheng +4 more
doaj +2 more sources