Market Timing: Style and Size Rotation Using the VIX

Maggie M. Copeland and Thomas E. Copeland

Financial Analysts Journal, 1999, vol. 55, issue 2, 73-81

Abstract: Changes in the Market Volatility Index (VIX) of the Chicago Board Options Exchange are statistically significant leading indicators of daily market returns. On days that follow increases in the VIX, portfolios of large-capitalization stocks outperform portfolios of small-capitalization stocks and value-based portfolios outperform growth-based portfolios. On days following a decrease in the VIX, the opposites occur. The implication is that market timing may be feasible—at least for portfolio yield enhancement.

Date: 1999
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DOI: 10.2469/faj.v55.n2.2262

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