Empirical Study on Asymmetrically Negative Relation between the VIX Index and Stock Index Rates of Return
The empirical results show strongly significantly negative relations exist between contemporaneous changes in VIX and S&P 500 index, S&P 500 index yield and VIX absolute level. There are also times when a run-up in S&P 500 index is accompanied by a run-up in volatility, in line with views of Corsi (2004), Marcelo et al. (2006). This relationship is also asymmetric in the sense that negative S&P 500 index returns yield bigger proportional changes in VIX than positive returns do. If S&P 500 index rises by 1％, the VIX will fall by 2.9734％, on the other hand, if S&P 500 index edges down by 1％, VIX will recovers 3.3621％. From the angle of S&P 500 index yield, asymmetric ARCH model results confirms the robustness of asymmetric movements, which further reviews market participants’ demand for portfolio insurance (Whaley, 2008). The empirical studying also finds that VIX is Granger causality to S&P 500 index and its return rate. VIX serves as the better roles of directing and forecasting stock index changes. Furthermore, there is a steady equilibrium in the long run. This paper expands Giot (2002) percentile methodology to tackle the issue whether VIX can indicate over-bought or over-sold market conditions. Results given by Matlab support that VIX might indicate S&P 500 index 1-, 5-, 20- and 60-day ahead return rates and related risks, proving its “forwarding looking feature.
VIX stock index return asymmetric movement forward looking
PU Yanjie
School of Finance, Renmin University of China, Beijing, China, 100872
国际会议
大连
英文
194-199
2012-07-07（万方平台首次上网日期，不代表论文的发表时间）