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What Makes the VIX Tick ?
| Content Provider | Semantic Scholar |
|---|---|
| Author | Bailey, Warren Zheng, Lin Zhou, Yinggang |
| Copyright Year | 2011 |
| Abstract | We study associations of the VIX implied volatility index and volatility risk premium with measures of public information, private information, and investor sentiment over 1-minute intervals. VIX rises with S&P 500 returns, suggesting leverage or increased pessimism during market downturns. Some findings on VIX and Eurodollar futures suggest flight-to-quality or heightened uncertainty associated with expected Fed monetary easing. Gold prices do not reflect “fear” in the same manner as the VIX, although other gold-related trading and sentiment measures suggest commonalities with VIX. Finally, there appears to be a common element in the risk premium component of VIX and credit default spreads. |
| File Format | PDF HTM / HTML |
| Alternate Webpage(s) | http://cn.ckgsb.com/Userfiles/doc/WarrenBailey_2Nov2011.pdf |
| Alternate Webpage(s) | https://efmaefm.org/0EFMAMEETINGS/EFMA%20ANNUAL%20MEETINGS/2014-Rome/papers/EFMA2014_0456_fullpaper.pdf |
| Language | English |
| Access Restriction | Open |
| Content Type | Text |
| Resource Type | Article |
