We evaluate real estate investment trust (REIT) responses to the release of REIT-specific and macroeconomic news over two periods with differing economic climates. More specifically, using high-frequency data, we track the response function over a period of 60 minutes following each...

We examine the efficacy with which the CBOE Volatility Index (VIX) predicts future (30 day forward) S&P realized volatility. We find that the VIX’s accuracy is about 63%. An alternative framework that we present, built on asymptotic distribution theory, predicts this volatility with an...

This study examines the reaction of four major equity markets of the world to the US equity market fear index, i.e., the Chicago Board of Trade Volatility Index (VIX). The VIX is designed to perform as a leading indicator of the volatility in equity markets. Our paper examines the daily data for...