期刊名称：CORE Discussion Papers / Center for Operations Research and Econometrics (UCL), Louvain
出版年度：2002
卷号：2002
出版社：Center for Operations Research and Econometrics (UCL), Louvain
摘要：This paper shows that, when the VIX or VXN indices of implied volatility
increase, the S&P100 and NASDAQ100 stock indices exhibit on average negative
returns, hence the ‘fear factor’ associated with high levels of implied volatility in
financial markets. However, attractive (from a mean-variance perspective) positive
returns should then be expected on average in the immediate short-term. In
this framework, very high levels of implied volatility can on a statistical basis be
viewed as signalling an imminent increase in stock indices, at least on a short
term basis. Our analysis also shows that average to moderately high levels of
implied volatility lead to unfavorable (from a mean-variance perspective) returns.
Thus traders willing to enter ‘oversold’ markets should wait until extremely high
levels of implied volatility are witnessed, and their strategy should be strictly on
a short-term basis.
