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Relationships between implied volatility indexes and stock index return. Are implied volatility indexes leading indicators?

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  • GIOT, Pierre

Abstract

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Suggested Citation

  • GIOT, Pierre, 2005. "Relationships between implied volatility indexes and stock index return. Are implied volatility indexes leading indicators?," LIDAM Reprints CORE 1848, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
    • Handle: RePEc:cor:louvrp:1848
    DOI: 10.3905/jpm.2005.500363
    Note: In : The Journal of Portfolio Management, 31(3), 92-100, 2005
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    Cited by:

    1. López, Raquel, 2015. "Do stylized facts of equity-based volatility indices apply to fixed-income volatility indices? Evidence from the US Treasury market," International Review of Financial Analysis, Elsevier, vol. 42(C), pages 292-303.
    2. Ding, Wenjie & Mazouz, Khelifa & Wang, Qingwei, 2021. "Volatility timing, sentiment, and the short-term profitability of VIX-based cross-sectional trading strategies," Journal of Empirical Finance, Elsevier, vol. 63(C), pages 42-56.
    3. Xiao Jing Cai & Shuairu Tian & Shigeyuki Hamori, 2016. "Dynamic correlation and equicorrelation analysis of global financial turmoil: evidence from emerging East Asian stock markets," Applied Economics, Taylor & Francis Journals, vol. 48(40), pages 3789-3803, August.
    4. Silvia Muzzioli, 2013. "The Information Content of Option-Based Forecasts of Volatility: Evidence from the Italian Stock Market," Quarterly Journal of Finance (QJF), World Scientific Publishing Co. Pte. Ltd., vol. 3(01), pages 1-46.
    5. Hong-Ghi Min & Young-Soon Hwang, 2012. "Dynamic correlation analysis of US financial crisis and contagion: evidence from four OECD countries," Applied Financial Economics, Taylor & Francis Journals, vol. 22(24), pages 2063-2074, December.
    6. Alfred Wong & Tom Fong, 2013. "Gauging the Safehavenness of Currencies," Working Papers 132013, Hong Kong Institute for Monetary Research.

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