Asymmetric effects of volatility risk on stock returns : evidence from VIX and VIX futures

Fu, Xi and Sandri, Matteo and Shackleton, Mark Broughton (2016) Asymmetric effects of volatility risk on stock returns : evidence from VIX and VIX futures. Journal of Futures Markets, 36 (11). pp. 1029-1056. ISSN 0270-7314

Preview

PDF (Accepted Version)
Accepted_Version.pdf - Accepted Version
Available under License Creative Commons Attribution.
Download (1MB)

Abstract

First, to separate different market conditions, this study focuses on how VIX spot (VIX), VIX futures (VXF), and their basis (VIX-VXF) perform different roles in asset pricing. Secondly, this study decomposes the VIX index into two parts, volatility calculated from out-of-the-money call options and volatility calculated from out-of-the-money put options. The analysis shows that out-of-the-money put options capture more useful information in predicting future stock returns.