Results 11 to 20 of about 2,929 (231)
Dynamic Responses of Standard and Poor’s Regional Bank Index to the U.S. Fear Index, VIX [PDF]
Journal of Risk and Financial Management, 2021 This study examines the reaction of the Standard and Poor’s Regional Bank Index (SPRB) to the U.S. equity market fear index (i.e., the Chicago Board of Trade Volatility Index [VIX]). The VIX is designed to perform as a leading indicator of the volatility in equity markets.
Adrangi, Bahram +3 more
openaire +3 more sources
Connecting VIX and Stock Index ETF with VAR and Diagonal BEKK [PDF]
Journal of Risk and Financial Management, 2018 As stock market indexes are not tradeable, the importance and trading volume of Exchange-Traded Funds (ETFs) cannot be understated. ETFs track and attempt to replicate the performance of a specific index. Numerous studies have demonstrated a strong relationship between the S&P500 Composite Index and the Volatility Index (VIX), but few empirical ...
Chia-Lin Chang +2 more
exaly +6 more sources
The jump component of S&P 500 volatility and the VIX index [PDF]
Journal of Banking & Finance, 2009 Much research has investigated the differences between option implied volatilities and econometric model-based forecasts. Implied volatility is a market determined forecast, in contrast to model-based forecasts that employ some degree of smoothing of past volatility to generate forecasts. Implied volatility has the potential to reflect information that
Becker, Ralf +2 more
openaire +5 more sources
The VIX Index Under Scrutiny of Machine Learning Techniques and Neural Networks [PDF]
SSRN Electronic Journal, 2021 The CBOE Volatility Index, known by its ticker symbol VIX, is a popular measure of the market's expected volatility on the SP 500 Index, calculated and published by the Chicago Board Options Exchange (CBOE). It is also often referred to as the fear index or the fear gauge.
Hirsa, Ali +6 more
openaire +4 more sources
Connecting VIX and Stock Index ETF [PDF]
, 2017 As stock market indexes are not tradeable, the importance and trading volume of Exchange Traded Funds (ETFs) cannot be understated. ETFs track and attempt to replicate the performance of a specific index. Numerous studies have demonstrated a strong relationship between the S&P500 Composite Index and the Volatility Index (VIX), but few empirical studies
Chang, Chia-Lin +2 more
openaire +4 more sources
The role of the COVID-19 pandemic in US market volatility: Evidence from the VIX index. [PDF]
Q Rev Econ Finance, 2023 We examine how the implied volatility in the US financial market has been affected by the COVID-19 pandemic. We decompose the Chicago Board Options Exchange (CBOE) Volatility Index (VIX) into two implied volatility conditions (i.e., low and high), and ...
Apergis N, Mustafa G, Malik S.
europepmc +2 more sources
How are VIX and Stock Index ETF Related? [PDF]
, 2016 As stock market indexes are not tradeable, the importance and trading volume of Exchange Traded Funds (ETFs) cannot be understated. ETFs track and attempt to replicate the performance of a specific index. Numerous studies have demonstrated a strong relationship between the S&P500 Composite Index and the Volatility Index (VIX), but few empirical studies
Chang, Chia-Lin +2 more
openaire +5 more sources
Decomposing the VIX Index into Greed and Fear [PDF]
SSRN Electronic Journal, 2021 Greed and fear are the main psychological factors driving investment deci-sions, and the VIX Index is regarded as the most important measure of howfearful the market feels about future returns of the main equity index, theS&P 500 Index. However, given that the VIX is calculated by combiningboth upside expected volatility implicit in out-of-the-money ...
Serur, Juan Andrés +2 more
openaire +2 more sources
The Interactions between COVID-19 Cases in the USA, the VIX Index and Major Stock Markets
International Journal of Financial Studies, 2021 With this study, we aimed to determine (1) the effect of the daily new cases and deaths due to the COVID-19 pandemic in the United States on the CBOE volatility index (VIX index) and (2) the effect of the VIX index on the major stock markets during the ...
Simon Grima +3 more
doaj +1 more source
Can Bitcoin be a safe haven in fear sentiment?
Technological and Economic Development of Economy, 2022 This paper explores how fear sentiment affects the price of Bitcoin by employing the rolling-window Granger causality tests. The analysis reveals negative influences from the volatility index (VIX) to Bitcoin price (BTC), which ascertains that Bitcoin ...
Chi-Wei Su +3 more
doaj +1 more source