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Asymmetric Effects of Volatility Risk on Stock Returns: Evidence from VIX and VIX Futures

Xi Fu, Matteo Sandri and Mark Shackleton

Journal of Futures Markets, 2016, vol. 36, issue 11, 1029-1056

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. © 2016 Wiley Periodicals, Inc. Jrl Fut Mark 36:1029–1056, 2016

Date: 2016
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