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    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

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Asymmetric effects of volatility risk on stock returns: evidence from VIX and VIX futures. / Fu, Xi; Sandri, Matteo; Shackleton, Mark Broughton.
In: Journal of Futures Markets, Vol. 36, No. 11, 11.2016, p. 1029-1056.

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

Harvard

Fu, X, Sandri, M & Shackleton, MB 2016, 'Asymmetric effects of volatility risk on stock returns: evidence from VIX and VIX futures', Journal of Futures Markets, vol. 36, no. 11, pp. 1029-1056. https://doi.org/10.1002/fut.21772

APA

Fu, X., Sandri, M., & Shackleton, M. B. (2016). Asymmetric effects of volatility risk on stock returns: evidence from VIX and VIX futures. Journal of Futures Markets, 36(11), 1029-1056. https://doi.org/10.1002/fut.21772

Vancouver

Fu X, Sandri M, Shackleton MB. Asymmetric effects of volatility risk on stock returns: evidence from VIX and VIX futures. Journal of Futures Markets. 2016 Nov;36(11):1029-1056. Epub 2016 Feb 4. doi: 10.1002/fut.21772

Author

Fu, Xi ; Sandri, Matteo ; Shackleton, Mark Broughton. / Asymmetric effects of volatility risk on stock returns : evidence from VIX and VIX futures. In: Journal of Futures Markets. 2016 ; Vol. 36, No. 11. pp. 1029-1056.

Bibtex

@article{346b4456f4534108bead1f138a7441f2,
title = "Asymmetric effects of volatility risk on stock returns: evidence from VIX and VIX futures",
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.",
keywords = "VIX index, VIX futures, VIX futures basis, volatility risk, asymmetric effect",
author = "Xi Fu and Matteo Sandri and Shackleton, {Mark Broughton}",
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 ",
year = "2016",
month = nov,
doi = "10.1002/fut.21772",
language = "English",
volume = "36",
pages = "1029--1056",
journal = "Journal of Futures Markets",
issn = "0270-7314",
publisher = "Wiley-Liss Inc.",
number = "11",

}

RIS

TY - JOUR

T1 - Asymmetric effects of volatility risk on stock returns

T2 - evidence from VIX and VIX futures

AU - Fu, Xi

AU - Sandri, Matteo

AU - Shackleton, Mark Broughton

N1 - 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

PY - 2016/11

Y1 - 2016/11

N2 - 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.

AB - 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.

KW - VIX index

KW - VIX futures

KW - VIX futures basis

KW - volatility risk

KW - asymmetric effect

U2 - 10.1002/fut.21772

DO - 10.1002/fut.21772

M3 - Journal article

VL - 36

SP - 1029

EP - 1056

JO - Journal of Futures Markets

JF - Journal of Futures Markets

SN - 0270-7314

IS - 11

ER -