The Investor Fear Gauge

By Robert Whaley. 2000

1,124 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/37ea262fb99beb8bf9dcb8406400d491aab40a0b

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Economics and Econometrics

1. Emilia Tzagkaraki
2. Eirini Konstantinidi
3. Mikhail Chernov
4. George Skiadopoulos
5. Xiaoyan Zhang
6. Yuhang Xing
7. Christopher Krauss
8. Mark Broadie

In Finance

1. Mikhail Chernov
2. Emilia Tzagkaraki
3. Eirini Konstantinidi
4. Xiaoyan Zhang
5. Yuhang Xing
6. George Skiadopoulos
7. Mark Broadie
8. Christopher Krauss

Citations in the corpus

• Widespread Worry and the Stock Market (2010, background): “The Chicago Board Options Exchange produces an index called the VIX, often commonly referred to as the “investor fear gauge” (Whaley 2000).”
• Extracting Model-Free Volatility from Option Prices (2007, background): “, Xu and Taylor [1994]), the implied variance term structure is neither linear nor monotonic in option maturity.”
• Investor mood, herding and the Ramadan effect (2016, neutral): “According to Whaley (2000), the CBOE VIX is considered to gauge investors’ fear.”
• Is VIX an investor fear gauge in BRIC equity markets (2012, background): “Although VIX is now widely recognized as an investor fear gauge in the U.S. equity markets (Whaley, 2000; Ghosh, 2009; Fleming et al., 1995; CBOE, 2009), the role of VIX as an investor fear gauge in foreign equity markets has received little or no attention in empirical studies.”
• A behavioral explanation for the negative asymmetric return–volatility relation (2008, neutral): “Low (2004) characterizes the nature of the asymmetric risk–return relation as a form of loss aversion ( Whaley, 2000, first defined the VIX as a ‘‘fear gauge”).”
• Forecasting with Option-Implied Information (2012, neutral): “(See Whaley (2000) for a detailed discussion.)”
• The forecast quality of CBOE implied volatility indexes (2005, neutral): “prices is often regarded as a bona fide investor fear gauge (Whaley, 2000).”
• The VIX, the Variance Premium and Stock Market Volatility (2013, neutral): “Well-known as a ‘‘fear index’’ (Whaley, 2000) for asset markets, it reflects both stock market uncertainty (the ‘‘physical’’ expected volatility), and a variance risk premium, which is also the expected premium from selling stock market variance in a swap contract.”
• Model Specification and Risk Premia: Evidence from Futures Options (2007, methodology): “We also report the summary statistics using the VIX index and ATM implied volatilities extracted from daily transactions using our interpolation scheme (see Whaley (2000) for a description of the VIX index).”
• Relationships Between Implied Volatility Indexes and Stock Index Returns (2005, background): “Even in the academic literature, the VIX implied volatility index of the CBOE for S&P100 index option contracts is dubbed the ‘fear indicator’ (Whaley, 2000).”