کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
5053164 1476505 2017 16 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Hitting SKEW for SIX
موضوعات مرتبط
علوم انسانی و اجتماعی اقتصاد، اقتصادسنجی و امور مالی اقتصاد و اقتصادسنجی
پیش نمایش صفحه اول مقاله
Hitting SKEW for SIX
چکیده انگلیسی
In this study, we propose “SIX” as a new forward-looking index of negative market skew derived from state-preference pricing. Specifically, SIX is a forecast of the ratio of lower to upper partial moment volatility over a 30-day horizon, for SPX market returns. Using SPX options data from 1996 to 2013, we conduct a comparison between SIX and the CBOE SKEW index. First, we document that the daily change in VIX and SIX (SKEW) are negatively (positively) related. Second, we show that the daily change of SIX (SKEW) adds (does not add) significant explanatory power for predicting the one-day ahead return. Third, though biased, SIX produces an efficient forecast of future physical skewness. In contrast, there is no statistically significant relationship between SKEW and physical skewness. Collectively, our results suggest that as an indicator of institutional anxiety, both theoretically and in practice, SIX (SKEW) is a more than useful (questionable) complement to VIX.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Economic Modelling - Volume 64, August 2017, Pages 449-464
نویسندگان
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