Asymmetric Effects of Volatility Risk on Stock Returns: Evidence from VIX and VIX Futures. Issue 11 (4th February 2016)

• Record Type: Journal Article
• Authors: Fu, Xi; Sandri, Matteo; Shackleton, Mark B.
• Is Part Of: Journal of futures markets. Volume 36:Issue 11(2016:Nov.)
• Page Start: 1029
• Page End: 1056
• Publication Date: 2016-02-04
• Subjects: Commodity exchanges -- Periodicals; Foreign exchange futures -- Periodicals; 332.632
• DOI: 10.1002/fut.21772
• Languages: English
• ISSNs: 0270-7314

Abstract

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. © 2016 Wiley Periodicals, Inc. Jrl Fut Mark 36:1029–1056, 2016