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The Causal Relationship between the S&P 500 and the 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.

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Detail Information
Series Title
BestMasters
Call Number
-
Publisher
Cham : Springer.,
Collation
XIII, 91
Language
English
ISBN/ISSN
978-3-658-08969-6
Classification
NONE
Content Type
text
Media Type
computer
Carrier Type
-
Edition
-
Subject(s)
Financial Economics
Specific Detail Info
-
Statement of Responsibility
Other Information
Cataloger
Jemadi
Source
https://link.springer.com/content/pdf/10.1007/978-3-658-08969-6.pdf?pdf=button
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