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VIX Implied Volatility as a Time-Invariant, Stationary Assessor of Market Nervousness/Uncertainty

In: Handbook of Investment Analysis, Portfolio Management, and Financial Derivatives In 4 Volumes

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  • Ehud I. Ronn

Abstract

Financial markets serve numerous roles, amongst them of course is the uncoerced exchange of securities. In addition to that role, they serve a very useful function of conveying to market observers information about the future, the challenge being our ability to elicit and interpret that information.This paper addresses that the latter function regarding the option markets which provide the value for the VIX 30-day implied volatility on the S&P 500 Market Index. It demonstrated that the peak value of VIX during Persian Gulf I, 1990/1991, and Persian Gulf II, 2003, was nearly identical.

Suggested Citation

  • Ehud I. Ronn, 2024. "VIX Implied Volatility as a Time-Invariant, Stationary Assessor of Market Nervousness/Uncertainty," World Scientific Book Chapters, in: Cheng Few Lee & Alice C Lee & John C Lee (ed.), Handbook of Investment Analysis, Portfolio Management, and Financial Derivatives In 4 Volumes, chapter 5, pages 191-197, World Scientific Publishing Co. Pte. Ltd..
    • Handle: RePEc:wsi:wschap:9789811269943_0005
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    Keywords

    Financial Accounting; Financial Auditing; Mutual Funds; Hedge Funds; Asset Pricing; Options; Portfolio Analysis; Risk Management; Investment Analysis; Momentum Analysis; Behavior Analysis; Futures; Index Futures; CDCs; Financial Econometrics; Statistics; Financial Derivatives; Financial Accounting;
    All these keywords.

    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G1 - Financial Economics - - General Financial Markets
    • M41 - Business Administration and Business Economics; Marketing; Accounting; Personnel Economics - - Accounting - - - Accounting
    • M42 - Business Administration and Business Economics; Marketing; Accounting; Personnel Economics - - Accounting - - - Auditing
    • G3 - Financial Economics - - Corporate Finance and Governance

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