کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
5055038 | 1371481 | 2012 | 15 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Modelling the risk-return relation for the S&P 100: The role of VIX
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موضوعات مرتبط
علوم انسانی و اجتماعی
اقتصاد، اقتصادسنجی و امور مالی
اقتصاد و اقتصادسنجی
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چکیده انگلیسی
A significantly positive risk-return relation for the S&P 100 market index is detected if the implied volatility index (VIX) is allowed for as an exogenous variable in the conditional variance equation. This result holds for 4 alternative GARCH specifications, irrespective of the conditional distribution, and regardless of whether the conditional mean equation includes a constant term. This finding is robust to sub-samples, and to using VIX innovations to control for dividend yield and trading volume effects. Monte Carlo evidence suggests that if VIX is not included, the risk-return relation is more likely to be negative or weak, in line with several previous studies. If VIX is included, the distribution of the risk-return parameter has more than 99% of its mass in the area of positive values. We conclude that VIX carries important forward-looking information which improves the precision of the conditional variance estimation and, subsequently, reveals a significantly positive relation.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Economic Modelling - Volume 29, Issue 3, May 2012, Pages 795-809
Journal: Economic Modelling - Volume 29, Issue 3, May 2012, Pages 795-809
نویسندگان
Angelos Kanas,