THE INFORMATION CONTENT OF THE S&P 500 INDEX AND VIX OPTIONS ON THE DYNAMICS OF THE S&P 500 INDEX

NCUIR > School of Management at National Central University > Department of Finance > journal & Dissertation > Item 987654321/51725

Please use this identifier to cite or link to this item: http://ir.lib.ncu.edu.tw/handle/987654321/51725

Title:	THE INFORMATION CONTENT OF THE S&P 500 INDEX AND VIX OPTIONS ON THE DYNAMICS OF THE S&P 500 INDEX
Authors:	Chung,SL;Tsai,WC;Wang,YH;Weng,PS
Contributors:	財務金融學系
Keywords:	IMPLIED VOLATILITY;STOCHASTIC VOLATILITY;DENSITY FORECASTS;CURRENCY OPTIONS;STOCK-PRICES;RISK;FUTURES;MARKET;RETURNS;VOLUME
Date:	2011
Issue Date:	2012-03-27 19:03:38 (UTC+8)
Publisher:	國立中央大學
Abstract:	Given that both S&P 500 index and VIX options essentially contain information about the future dynamics of the S&P 500 index, in this study, we set out to empirically investigate the informational roles played by these two option markets with regard to the prediction of returns, volatility, and density in the S&P 500 index. Our results reveal that the information content implied from these two option markets is not identical. In addition to the information extracted from the S&P 500 index options, all of the predictions for the S&P 500 index are significantly improved by the information recovered from the VIX options. Our findings are robust to various measures of realized volatility and methods of density evaluation. (C) 2011 Wiley Periodicals, Inc. Jrl Fut Mark 31: 1170-1201, 2011
Relation:	JOURNAL OF FUTURES MARKETS
Appears in Collections:	[Department of Finance] journal & Dissertation

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