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 SaP 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.Due to the fact that the target groups of this research paper are financial risk managers and investment brokers, to start ... and uncertainty and in doing so, establish a link to another major topic of this master thesis, namely behavioral finance.
|Title||:||The Causal Relationship between the S&P 500 and the VIX Index|
|Publisher||:||Springer - 2015-02-13|