VIX as Predictor Variable of Stock Market Returns
This document studies the power of CBOE Volatility Index (VIX) to predict stock market returns of Standard & Poor’s 500 (S&P 500), a good proxy of the USA economy. VIX measures the market’s expectation of S&P 500 volatility, however many authors call it fear index because the value of the index spikes in moments of high selling in financial markets. Even though VIX is a common indicator in technical analysis and market sentiment (Baker & Wurgler, 2007), this study fits better to fundamental analysis of the USA economy as a whole.
The download includes the complete master thesis in pdf. The documents are well structured and correctly formatted. Additionally, it includes the complete project in R programming language, it is used to gather the data from internet, process the data, create all regression models and plot the images present in the management project.
- Date: 2019-02-24
- Author: Raúl Bartolomé Castro
- Tutor: Dr. Steve Wu.
- Program: Distance Learning MBA
- Module: Management Project