Market Volatility and Momentum

Fang Tang and Jianhong H. Mu

No 124792, 2012 Annual Meeting, August 12-14, 2012, Seattle, Washington from Agricultural and Applied Economics Association

Abstract: This paper provides further evidence to support behavioral explanation of the momentum profit. We use VIX index as an approximate of market participants’ degree of fear, which is contrary to overconfidence level and explore the relation between momentum return and VIX index. We find strong negative correlation between them. VIX index is still statistically significant even after we control the cumulative market return used in previous study. The results are consistent with the behavioral explanation of momentum return.

Keywords: Demand and Price Analysis; Institutional and Behavioral Economics; Marketing (search for similar items in EconPapers)
Pages: 11
Date: 2012
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Persistent link: https://EconPapers.repec.org/RePEc:ags:aaea12:124792

DOI: 10.22004/ag.econ.124792

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