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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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 This article may be used for non-commercial purposes in accordance with the Wiley Self-Archiving Policy
Uncontrolled Keywords:
?? vix indexvix futuresvix futures basisvolatility riskasymmetric effectfinancebusiness, management and accounting(all)economics and econometricsaccountingg12 ??
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Deposited On:
24 Nov 2015 11:08
Last Modified:
19 May 2024 00:28