Cover The Causal Relationship between the S&P 500 and the VIX Index

Leseprobe

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Leseprobe

The Causal Relationship between the S&P 500 and the VIX Index

Name: The Causal Relationship between the S&P 500 and the VIX Index
Author: Florian Auinger

Critical Analysis of Financial Market Volatility and Its Predictability

Florian Auinger

PDF

ca. 80,24 €

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Springer Fachmedien Wiesbaden GmbH

Sozialwissenschaften, Recht, Wirtschaft / Volkswirtschaft

Beschreibung

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.

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