Portfolio Effects of VIX Futures Index
This paper tests short-term and mid-term VIX indexes as a hedge and safe haven asset against U.S. stock risk from January 2006 through July 2016. GARCH dynamic conditional correlation analysis indicates that VIX indexes are an effective hedge due to the consistent inverse relationship between the VI...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
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AIMS Press
2017-10-01
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| Series: | Quantitative Finance and Economics |
| Subjects: | |
| Online Access: | http://www.aimspress.com/QFE/article/1646/fulltext.html |
| _version_ | 1811221334708977664 |
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| author | Mitchell Ratner Chih-Chieh (Jason) Chiu |
| author_facet | Mitchell Ratner Chih-Chieh (Jason) Chiu |
| author_sort | Mitchell Ratner |
| collection | DOAJ |
| description | This paper tests short-term and mid-term VIX indexes as a hedge and safe haven asset against U.S. stock risk from January 2006 through July 2016. GARCH dynamic conditional correlation analysis indicates that VIX indexes are an effective hedge due to the consistent inverse relationship between the VIX indexes and stocks. VIX indexes are either a strong or weak safe haven in times of extreme stock market volatility. Additionally, VIX indexes provide a strong safe haven during recent periods of turmoil including the 2008 global financial crisis, the 2011 downgrade of the U.S. government triple-A credit rating, and the 2016 U.K. vote to leave the E.U. (Brexit). |
| first_indexed | 2024-04-12T07:57:34Z |
| format | Article |
| id | doaj.art-72638172ab2744278e50517952f58547 |
| institution | Directory Open Access Journal |
| issn | 2573-0134 |
| language | English |
| last_indexed | 2024-04-12T07:57:34Z |
| publishDate | 2017-10-01 |
| publisher | AIMS Press |
| record_format | Article |
| series | Quantitative Finance and Economics |
| spelling | doaj.art-72638172ab2744278e50517952f585472022-12-22T03:41:26ZengAIMS PressQuantitative Finance and Economics2573-01342017-10-011328829910.3934/QFE.2017.3.288QFE-01-00288Portfolio Effects of VIX Futures IndexMitchell Ratner0Chih-Chieh (Jason) Chiu1Department of Finance and Economics, Rider University, 2083 Lawrenceville Road, Lawrenceville, NJ 08648, USADepartment of Finance and Economics, Rider University, 2083 Lawrenceville Road, Lawrenceville, NJ 08648, USAThis paper tests short-term and mid-term VIX indexes as a hedge and safe haven asset against U.S. stock risk from January 2006 through July 2016. GARCH dynamic conditional correlation analysis indicates that VIX indexes are an effective hedge due to the consistent inverse relationship between the VIX indexes and stocks. VIX indexes are either a strong or weak safe haven in times of extreme stock market volatility. Additionally, VIX indexes provide a strong safe haven during recent periods of turmoil including the 2008 global financial crisis, the 2011 downgrade of the U.S. government triple-A credit rating, and the 2016 U.K. vote to leave the E.U. (Brexit).http://www.aimspress.com/QFE/article/1646/fulltext.htmlVIXvolatilitystock riskhedgesafe haven |
| spellingShingle | Mitchell Ratner Chih-Chieh (Jason) Chiu Portfolio Effects of VIX Futures Index Quantitative Finance and Economics VIX volatility stock risk hedge safe haven |
| title | Portfolio Effects of VIX Futures Index |
| title_full | Portfolio Effects of VIX Futures Index |
| title_fullStr | Portfolio Effects of VIX Futures Index |
| title_full_unstemmed | Portfolio Effects of VIX Futures Index |
| title_short | Portfolio Effects of VIX Futures Index |
| title_sort | portfolio effects of vix futures index |
| topic | VIX volatility stock risk hedge safe haven |
| url | http://www.aimspress.com/QFE/article/1646/fulltext.html |
| work_keys_str_mv | AT mitchellratner portfolioeffectsofvixfuturesindex AT chihchiehjasonchiu portfolioeffectsofvixfuturesindex |