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
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Replicating the CBOE VIX using a synthetic volatility index trading algorithm [PDF]
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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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
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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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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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The behavior of option’s implied volatility index: a case of India VIX
Business: Theory and Practice, 2015 The aim of this paper is to investigate the behavior of implied volatility in the form of day-of-the-week, year-of-the-month and surround the expiration of options. The persistence of volatility is modeled in ARCH/GARCH type framework.
Imlak Shaikh, Puja Padhi
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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 COVID-19 pandemic cases and deaths into two categories (i.e., low and high).
Apergis N, Mustafa G, Malik S.
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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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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
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Role of the Global Volatility Indices in Predicting the Volatility Index of the Indian Economy
Risks, 2022 Movements in the volatility index of the Indian economy are influenced by global volatility indices (fear index). This study evaluates the influence of various global implied volatility indices in forecasting the day-to-day binary movements in the ...
Akhilesh Prasad, Priti Bakhshi
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