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  • Accepted Version

    Rights statement: This is the accepted version of the following article: Fu, X., Sandri, M. and Shackleton, M. B. (2016), Asymmetric Effects of Volatility Risk on Stock Returns: Evidence from VIX and VIX Futures. Journal of Futures Markets, 36: 1029–1056. doi:10.1002/fut.21772 which has been published in final form at http://onlinelibrary.wiley.com/doi/10.1002/fut.21772/abstract This article may be used for non-commercial purposes in accordance with the Wiley Self-Archiving Policy http://olabout.wiley.com/WileyCDA/Section/id-820227.html

    Accepted author manuscript, 1.39 MB, PDF document

    Available under license: CC BY: Creative Commons Attribution 4.0 International License

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Asymmetric effects of volatility risk on stock returns: evidence from VIX and VIX futures

Research output: Contribution to Journal/Magazine › Journal article › peer-review

Published
<mark>Journal publication date</mark>11/2016
<mark>Journal</mark>Journal of Futures Markets
Issue number11
Volume36
Number of pages28
Pages (from-to)1029-1056
Publication StatusPublished
Early online date4/02/16
<mark>Original language</mark>English

Abstract

First, to separate different market conditions, this study focuses on how VIX spot (VIX), VIX futures (VXF), and their basis (VIX-VXF) perform different roles in asset pricing. Secondly, this study decomposes the VIX index into two parts, volatility calculated from out-of-the-money call options and volatility calculated from out-of-the-money put options. The analysis shows that out-of-the-money put options capture more useful information in predicting future stock returns.

Bibliographic note

This is the accepted version of the following article:Fu, X., Sandri, M. and Shackleton, M. B. (2016), Asymmetric Effects of Volatility Risk on Stock Returns: Evidence from VIX and VIX Futures. Journal of Futures Markets, 36: 1029–1056. doi:10.1002/fut.21772 which has been published in final form at http://onlinelibrary.wiley.com/doi/10.1002/fut.21772/abstract This article may be used for non-commercial purposes in accordance with the Wiley Self-Archiving Policy