The Causal Relationship Between the S&p 500 and the VIX Index: Critical Analysis of Financial Market Volatility and Its Predictability

ISBN-13: 9783658089689 / Angielski / Miękka / 2015 / 91 str.

Florian Auinger

Opis

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.

Spis treści

Risk and Emotions.- Financial Market Volatility.- Behavioural Finance.- VIX Index.

O autorze

Florian Auinger wrote his master thesis at the University of Applied Sciences in Steyr, Upper Austria and is currently working in the fields of mergers & acquisitions.

Blurb

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.

Contents

• Risk and Emotions
• Financial Market Volatility
• Behavioural Finance
• VIX Index

Target Groups 

• Researchers and students in the fields of risk management, portfolio management and investment banking
• Practitioners in these areas

The Author

Florian Auinger wrote his master thesis at the University of Applied Sciences in Steyr, Upper Austria and is currently working in the fields of mergers & acquisitions.