Does CBOE volatility index jumped or located at a higher level matter for evaluating DJ 30, NASDAQ, and S&P500 index subsequent performance
學年 110
學期 1
出版（發表）日期 2021-08-01
作品名稱 Does CBOE volatility index jumped or located at a higher level matter for evaluating DJ 30, NASDAQ, and S&P500 index subsequent performance
作品名稱（其他語言）
著者 Yulu Liao; Min-Yuh Day; Yirung Cheng; Paoyu Huang; Yensen Ni
單位
出版者
著錄名稱、卷期、頁數 Journal of Computers 32 (4), 57-66
摘要 Nowadays, the VIX index has become the most popular measure for the market’s expectation of volatility over the near-term future. Studies have addressed that the sharp movement in the VIX index might affect stock markets. However, the subsequent performances for stock markets when the VIX index jumps a relatively high point in a day or is located at a relatively high level remain unclear in the present literature. With the motivation to solve these puzzles, we conduct this study by taking “flow concern” and “stock concern” to evaluate the interaction among Dow Jones, NASDAQ, and S&P500 and VIX indices. The revealed results show that the subsequent performances for these stock indices would rise in a few days, but the above results would be reversed in a month. These findings might be beneficial for investors in evaluating DJ 30, NASDAQ, and S&P500 index subsequent performance while trading these index futures or index ETFs as the above VIX index phenomena occurred. Additionally, we argue that the above concerns in terms of investors’ panic and stock index performance, to our knowledge, seem rarely explored before and the outcomes of this study might enhance the robustness of the existing literature.
關鍵字
語言 en
ISSN 1991-1599
期刊性質 國內
收錄於 EI
產學合作
通訊作者
審稿制度 是
國別 TWN
公開徵稿
出版型式 ,電子版,紙本
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