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The Causal Relationship between the S&P 500 and the VIX Index

Critical Analysis of Financial Market Volatility and Its Predictability

  • Book
  • © 2015

Overview

Authors:
  1. Florian Auinger

    1. Financial Advisory, Deloitte, Linz, Austria

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  • Study in the field of economic sciences
  • Includes supplementary material: sn.pub/extras

Part of the book series: BestMasters (BEST)

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Table of contents (9 chapters)

  1. Front Matter

    Pages I-XIII
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  2. Introduction

    • Florian Auinger
    Pages 1-3

  3. Methodology

    • Florian Auinger
    Pages 4-16

  4. Risk and Emotions

    • Florian Auinger
    Pages 17-18

  5. Financial Market Volatility

    • Florian Auinger
    Pages 19-32

  6. Behavioural Finance

    • Florian Auinger
    Pages 33-36

  7. VIX Index

    • Florian Auinger
    Pages 37-52

  8. Empirical Results

    • Florian Auinger
    Pages 53-63

  9. Discussion

    • Florian Auinger
    Pages 64-66

  10. Conclusion

    • Florian Auinger
    Pages 67-68

  11. Back Matter

    Pages 69-91
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Keywords

About this book

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.

Authors and Affiliations

  • Financial Advisory, Deloitte, Linz, Austria

    Florian Auinger

About the author

Florian Auinger wrote his master thesis at the University of Applied Sciences in Steyr, Upper Austria and is currently working in the fields of mergers & acquisitions.

Bibliographic Information

  • Book Title: The Causal Relationship between the S&P 500 and the VIX Index

  • Book Subtitle: Critical Analysis of Financial Market Volatility and Its Predictability

  • Authors: Florian Auinger

  • Series Title: BestMasters

  • DOI: https://doi.org/10.1007/978-3-658-08969-6

  • Publisher: Springer Gabler Wiesbaden

  • eBook Packages: Business and Economics, Economics and Finance (R0)

  • Copyright Information: Springer Fachmedien Wiesbaden 2015

  • Softcover ISBN: 978-3-658-08968-9Published: 26 February 2015

  • eBook ISBN: 978-3-658-08969-6Published: 13 February 2015

  • Series ISSN: 2625-3577

  • Series E-ISSN: 2625-3615

  • Edition Number: 1

  • Number of Pages: XIII, 91

  • Number of Illustrations: 34 b/w illustrations

  • Topics: Finance, general

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