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

by Florian Auinger

Overview

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.

Product Details

ISBN-13:	9783658089689
Publisher:	Springer Fachmedien Wiesbaden
Publication date:	02/14/2015
Series:	BestMasters
Edition description:	2015
Pages:	91
Product dimensions:	5.83(w) x 8.27(h) x 0.01(d)

About 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.

Table of Contents

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