Zur Rendite-Risiko-Beziehung am deutschen Aktienmarkt – Eine empirische Analyse der Beziehung zwischen dem Deutschen Aktienindex DAX und dem Volatilitätsindex VDAX
Year: 2012
Author: Dichtl, Hubert, Drobetz, Wolfgang
Credit and Capital Markets – Kredit und Kapital, Vol. 45 (2012), Iss. 3 : pp. 373–406
Abstract
Observations on the Risk/Yield Relationship in the German Stock Market
An Empirical Analysis of the Relationship Between the German Stock Index DAX and the Volatility Index VDAX
This study examines the empirical relationship between the volatility indices VDAX as well as VDAX-New and the stock market index DAX. Extending prior international evidence, we document a negative relationship between the implied volatility indexes and the stock market index for the German stock market. This negative relationship is asymmetric, i.e., it is more pronounced for negative stock returns than for positive ones. In contrast, we are unable to uncover additional quadratic effects, which could be interpreted as investor panic or exuberance. These findings are robust with regards to the selected volatility index, data frequency, and sample period. Overall, our empirical results are consistent with loss aversion and prospect theory. Finally, we document weak predictability of daily volatility index returns using lagged stock market returns, and this relationship is strongest in bear market periods. These observations could be explained with the leverage effect hypothesis.
Journal Article Details
Publisher Name: Global Science Press
Language: German
DOI: https://doi.org/10.3790/kuk.45.3.373
Credit and Capital Markets – Kredit und Kapital, Vol. 45 (2012), Iss. 3 : pp. 373–406
Published online: 2012-07
AMS Subject Headings: Duncker & Humblot
Copyright: COPYRIGHT: © Global Science Press
Pages: 34
Author Details
-
Uncovering asymmetries in the relationship between fear and the stock market using a hidden co-integration approach
Economou, Fotini
Panagopoulos, Yannis
Tsouma, Ekaterini
Research in International Business and Finance, Vol. 44 (2018), Iss. P.459
https://doi.org/10.1016/j.ribaf.2017.07.116 [Citations: 13]