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

  • Fu X
  • Sandri M
  • Shackleton M
  • 5


    Mendeley users who have this article in their library.
  • 2


    Citations of this article.


First, to separate different market situations, we focus on how VIX spot (í µí±‰í µí°¼í µí±‹), VIX futures (í µí±‰í µí±‹í µí°¹), and their basis (í µí±‰í µí°¼í µí±‹ − í µí±‰í µí±‹í µí°¹) perform different roles in asset pricing. Secondly, we decompose 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 information captured by out-of-the-money put options captures more useful information in predicting future returns.

Get free article suggestions today

Mendeley saves you time finding and organizing research

Sign up here
Already have an account ?Sign in

Find this document


Cite this document

Choose a citation style from the tabs below

Save time finding and organizing research with Mendeley

Sign up for free