The Causal Relationship between the S&P 500 and the VIX Index : Critical Analysis of Financial Market Volatility and Its Predictability
by Florian Auinger
Florian Auinger highlights the core weaknesses and sources of criticism regarding the VIX Index as an indicator for the future development of financial market volatility. Furthermore, it is proven that there is no statistically significant causal relationship between the VIX and the S&P 500. As a consequence, the forecastability is not given in both directions. Obviously, there must be at least one additional variable that has a strong influence on market volatility such as emotions which, according to financial market experts, are considered to play a more and more important role in investment decisions. Contents Risk and Emotions Financial Market Volatility Behavioural Finance VIX Index Target Groups Researchers and students in the fields of risk management, portfolio management and investment banking Practitioners in these areas The Author Florian Auinger wrote his master thesis at the University of Applied Sciences in Steyr, Upper Austria and is currently working in the fields of mergers & acquisitions.
Year of publication: |
2015
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Authors: | Auinger, Florian |
Publisher: |
Wiesbaden : Springer Fachmedien Wiesbaden |
Subject: | Volatilität | Volatility | Finanzmarkt | Financial market | Börsenkurs | Share price | Kausalanalyse | Causality analysis | Aktienindex | Stock index | Prognoseverfahren | Forecasting model | Kreditmarkt |
Description of contents: |
Risk and Emotions -- Financial Market Volatility -- Behavioural Finance -- VIX Index.
Description [swbplus.bsz-bw.de]
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Saved in:
Online Resource
Extent: | Online-Ressource (XIII, 91 p. 34 illus, online resource) |
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Series: | |
Type of publication: | Book / Working Paper |
Language: | English |
Notes: | Description based upon print version of record Risk and EmotionsFinancial Market Volatility -- Behavioural Finance -- VIX Index. |
ISBN: | 978-3-658-08969-6 ; 978-3-658-08968-9 |
Other identifiers: | 10.1007/978-3-658-08969-6 [DOI] |
Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012819102
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