The Investor Fear Gauge
Top Cited Papers
- 30 April 2000
- journal article
- Published by With Intelligence LLC in The Journal of Portfolio Management
- Vol. 26 (3) , 12-17
- https://doi.org/10.3905/jpm.2000.319728
Abstract
The Chicago Board Options Exchange's Market Volatility Index (VIX) is called the “investor fear gauge.” To understand why, it is necessary to understand the index's construction. To understand how VIX performs its role, it is necessary to examine its history and its relation to stock market returns. In this article, the author describes the construction of the volatility index and examines in movements over the past fourteen years.This publication has 3 references indexed in Scilit:
- Derivatives on Market VolatilityThe Journal of Derivatives, 1993
- The Pricing of Options and Corporate LiabilitiesJournal of Political Economy, 1973
- Theory of Rational Option PricingThe Bell Journal of Economics and Management Science, 1973