The Consequence of Volatility Index on Stock Market Returns

摘要

Globally investors buy or sell in the stock market with greed and fear during the periods of uncertainty or high volatility. As a result, markets across the world and India have launched the Volatility Index (VIX) to measure volatility. Volatility also determines the Futures price, Open Interest, and Turnover which will be reflected in the underlying Spot price. Our study examines the various market indicators and their influence on the movement of the market. We provide direct evidence on how changes in selected indicators affect the value of the Market index. Our results show that VIX directly influences Futures price (positively) more than its indirect influence with Open Interest and Turnover but VIX indirectly with Open Interest, Futures and Turnover influences Spot prices (negatively) which is much less than its direct effect.