Scientific Library of Tomsk State University

   E-catalog        

Image from Google Jackets
Normal view MARC view

The Causal Relationship between the S&P 500 and the VIX Index electronic resource Critical Analysis of Financial Market Volatility and Its Predictability / by Florian Auinger.

By: Auinger, Florian [author.]Contributor(s): SpringerLink (Online service)Material type: TextTextSeries: BestMastersPublication details: Wiesbaden : Springer Fachmedien Wiesbaden : Imprint: Springer Gabler, 2015Description: XIII, 91 p. 34 illus. online resourceContent type: text Media type: computer Carrier type: online resourceISBN: 9783658089696Subject(s): Finance | Finance | Finance, generalDDC classification: 332 LOC classification: HG1-HG9999Online resources: Click here to access online
Contents:
Risk and Emotions -- Financial Market Volatility -- Behavioural Finance -- VIX Index.
In: Springer eBooksSummary: 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.
Tags from this library: No tags from this library for this title. Log in to add tags.
No physical items for this record

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

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.

There are no comments on this title.

to post a comment.