Understanding the VIX

By Robert Whaley. Journal of Portfolio Management, 2009

628 citations recorded by the source corpus.

Subfields: Finance

View Paper: https://www.semanticscholar.org/paper/514ce5a0d76c392a0135b14c9f17eee63934f659

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Citations in the corpus

The importance of fear: investor sentiment and stock market returns (2017, neutral): “The literature (e.g. Whaley 2009; Smales 2016a) suggests that increases (decreases) in VIX are related to contemporaneous declines (increases) in stock markets.”
Cognitive Dissonance, Sentiment, and Momentum (2012, methodology): “2.15 [2.52] 27For a general discussion of VIX (the index options-based VIX), see Whaley (2009).”
The effectiveness of unconventional monetary policy at the zero lower bound : a cross-country analysis (2014, background): “For a more detailed discussion of the VIX and its interpretation, see Whaley (2009).”
Does investor sentiment really matter (2016, neutral): “The VIX index is constructed from implied volatilities of S&P 500 index options and has often been used by traders as a sentiment indicator since its introduction in 1993 (Whaley, 2009).”
VIX Futures and options: A Case Study of Portfolio Diversification During the 2008 Financial Crisis (2009, background): “VIX was originally introduced by Whaley [1993] as an index of implied volatility on the S&P 100.”
Is gold the best hedge and a safe haven under changing stock market volatility (2013, background): “2 Whaley, the creator of VIX, even suggests that part of the purpose of VIX is to serve as a hedge to stock investing (Whaley, 2009) 1058-3300/$ – see front matter © 2013 Elsevier Inc.”
Tails, Fears and Risk Premia (2010, neutral): “4As such, this does lend some credence to the common use of the term “investor’s fear gauge” as a moniker for the VIX volatility index, albeit a rather imperfect proxy at that; see, e.g., Whaley (2009).”
Is VIX an investor fear gauge in BRIC equity markets (2012, background): “Whaley (2009) argues that since the S&P 500 index options market is dominated by hedgers who buy index put options when they are concerned about a potential drop in the stock market, VIX is also an indicator of the price of portfolio insurance.”
How Does Oil Market Uncertainty Interact with Other Markets? An Empirical Analysis of Implied Volatility Index (2013, neutral): “For example, in most cases the stock volatility index VIX tends to increase when stock prices fall [13,24].”