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

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Official URL: https://doi.org/10.1002/fut.21772

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.

Item Type:

Journal Article

Journal or Publication Title:

Journal of Futures Markets

Additional Information:

This is the accepted version of the following article:Fu, X., Sandri, M. and Shackleton, M. B. (2016), Asymmetric Effects of Volatility Risk on Stock Returns: Evidence from VIX and VIX Futures. Journal of Futures Markets, 36: 1029–1056. doi:10.1002/fut.21772 which has been published in final form at http://onlinelibrary.wiley.com/doi/10.1002/fut.21772/abstract This article may be used for non-commercial purposes in accordance with the Wiley Self-Archiving Policy

Uncontrolled Keywords:

/dk/atira/pure/subjectarea/asjc/1400/1402

Subjects:

Departments:

Lancaster University Management School > Accounting & Finance

ID Code:

76830

Deposited By:

ep_importer_pure

Deposited On:

24 Nov 2015 11:08

Refereed?: