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

Florian Auinger

ISBN 10: 3658089687 / ISBN 13: 9783658089689
Editore: Betriebswirt.-Vlg Gabler Apr 2015, 2015
Nuovi Condizione: Neu Taschenbuch
Da Rhein-Team Lörrach Ivano Narducci e.K. (Lörrach, Germania)

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Neuware - 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. 91 pp. Englisch. Codice inventario libreria 9783658089689

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Titolo: The Causal Relationship between the S&P 500 ...

Casa editrice: Betriebswirt.-Vlg Gabler Apr 2015

Data di pubblicazione: 2015

Legatura: Taschenbuch

Condizione libro:Neu

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Riassunto:

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.

L'autore:

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.

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