Abnormal Stock Market Returns around VIX Volatility Peaks : Is there evidence for abnormal return around volatility peaks?

2016

Master thesis Business Administration - University of Agder 2016 Is has been observed that the volatility index, VIX, often ends in a spike peak. The intention when introducing VIX was to measure the volatility related to S&P indices. Evidence in the literature argue that VIX is an estimate of investors sentiment and fear, by need for insurance of portfolio in term of options. In the thesis we outlined three studies related to VIX and S&P 500. We perform a replica study of the already observed asymmetrical relation between VIX and S&P 500, where we include symmetrical models to discuss the results. Furthermore, two studies take the spike peak in VIX into account. The first determine the pea…