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

摘要

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. (c) 2016 Wiley Periodicals, Inc. Jrl Fut Mark 36:1029-1056, 2016