Results 121 to 130 of about 2,168 (228)

News which Moves the Market: Assessing the Impact of Published Financial News on the Stock Market

, 2010
Recent years have seen a large increase in the volume of financial news available to investors daily. What has traditionally been restricted to print media has now evolved to include the internet and satellite television as important media sources for ...
SOON, Yu Chiang
core  

Examining the hedge performance of US dollar, VIX, and gold during the coronavirus pandemic: Is US dollar a better hedge asset? [PDF]

PLoS One, 2023
Yun SJ, Choi SY, Kim YS.
europepmc   +1 more source

Volatility Risk and Volatility‐of‐Volatility Risk: State‐Dependent Correlations Between VIX and the S&P 500 Stock Index and Hedging Effectiveness

Journal of Futures Markets
ABSTRACTOur research is one of the first to provide evidence to distinguish between two types of uncertainty: the volatility (VOL) risk and the volatility‐of‐volatility (VOV) risk. We outline a theoretical framework of state‐dependent correlations between the S&P 500 stock index and volatility index (VIX). We then develop a Buford's state‐dependent
Leon Li, Carl R. Chen
openaire   +1 more source

Effects of the first wave of COVID-19 pandemic on implied stock market volatility: International evidence using a google trend measure. [PDF]

J Econ Asymmetries, 2023
Papadamou S, Fassas AP, Kenourgios D, Dimitriou D.   +3 more
europepmc   +1 more source

Evaluation of Dynamics of the VIX Index Via Heston Model.

A methodology for the estimation of parameter of a stochastic model using discontinuous models (ARIMA class) and based on the financial market data is introduced.
Fjodorovs, Jegors, Matvejevs, Andrejs
core  

The impact and profitability of day trading following the relaxation of day trading restrictions in Taiwan. [PDF]

Heliyon, 2023
Cheng WH, Chen Y, Huang P, Ni Y, Liang MC.   +4 more
europepmc   +1 more source

Extreme Asymmetric Volatility: VIX and S&P 500

, 2017
Asymmetric volatility in equity markets has been widely documented in finance (Bekaert and Wu (2000)). We study asymmetric volatility for daily S&P 500 index returns and VIX index changes, thereby examining the relation between extreme changes in risk ...
Aboura, Sofiane, Wagner, Niklas
core  

How media coverage news and global uncertainties drive forecast of cryptocurrencies returns? [PDF]

Heliyon, 2023
Naifar N, Altamimi S, Alshahrani F, Alhashim M.   +3 more
europepmc   +1 more source

The Information Content of TAIEX Options Implied Volatility Index—Empirical Study of New VIX

, 2007
摘要 芝加哥選擇權交易所CBOE於1993年公佈VXO波動率指標(Volatility Index)，用來衡量選擇權交易人對於未來股票市場波動率之預期。尤其在指數出現恐慌性下跌時更能夠清楚表達投資人的恐慌程度，故波動率指標亦被稱為「投資人恐懼指標」。波動率指標具有即時化、標準化及簡單化等特性，故在推出後，很快為投資人所接受並參考。經過多年廣泛的討論與研究，各國亦開始建立屬於自己的波動率指標，並發展其衍生性金融商品。本文介紹了CBOE於1993年以及2003年9月所推出新舊波動率指標(VIX與VXO ...
江木偉, Chiang, Mu-Wei
core  

Tail spillover effects between cryptocurrencies and uncertainty in the gold, oil, and stock markets. [PDF]

Financ Innov, 2023
Mensi W, Gubareva M, Ko HU, Vo XV, Kang SH.   +4 more
europepmc   +1 more source