The Causal Relationship between the S&P 500 and the VIX Index: Critical Analysis of Financial Market Volatility and Its Predictability

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...

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Tác giả chính:	Auinger, Florian
Định dạng:	Sách
Ngôn ngữ:	English
Được phát hành:	Springer 2015
Những chủ đề:	Banking Investment Finance Management Science Economics
Truy cập trực tuyến:	https://scholar.dlu.edu.vn/thuvienso/handle/DLU123456789/59490
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id	oai:scholar.dlu.edu.vn:DLU123456789-59490
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spelling	oai:scholar.dlu.edu.vn:DLU123456789-594902023-11-11T06:42:20Z The Causal Relationship between the S&P 500 and the VIX Index: Critical Analysis of Financial Market Volatility and Its Predictability Auinger, Florian Banking Investment Finance Management Science Economics 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. 2015-12-22T08:51:16Z 2015-12-22T08:51:16Z 2015 Book 978-3-658-08969-6 978-3-658-08968-9 https://scholar.dlu.edu.vn/thuvienso/handle/DLU123456789/59490 en application/pdf Springer
institution	Thư viện Trường Đại học Đà Lạt
collection	Thư viện số
language	English
topic	Banking Investment Finance Management Science Economics
spellingShingle	Banking Investment Finance Management Science Economics Auinger, Florian The Causal Relationship between the S&P 500 and the VIX Index: Critical Analysis of Financial Market Volatility and Its Predictability
description	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.
format	Book
author	Auinger, Florian
author_facet	Auinger, Florian
author_sort	Auinger, Florian
title	The Causal Relationship between the S&P 500 and the VIX Index: Critical Analysis of Financial Market Volatility and Its Predictability
title_short	The Causal Relationship between the S&P 500 and the VIX Index: Critical Analysis of Financial Market Volatility and Its Predictability
title_full	The Causal Relationship between the S&P 500 and the VIX Index: Critical Analysis of Financial Market Volatility and Its Predictability
title_fullStr	The Causal Relationship between the S&P 500 and the VIX Index: Critical Analysis of Financial Market Volatility and Its Predictability
title_full_unstemmed	The Causal Relationship between the S&P 500 and the VIX Index: Critical Analysis of Financial Market Volatility and Its Predictability
title_sort	causal relationship between the s&p 500 and the vix index: critical analysis of financial market volatility and its predictability
publisher	Springer
publishDate	2015
url	https://scholar.dlu.edu.vn/thuvienso/handle/DLU123456789/59490
_version_	1819769291000512512

The Causal Relationship between the S&P 500 and the VIX Index: Critical Analysis of Financial Market Volatility and Its Predictability

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