Market Volatility and Momentum

This paper provides further evidence to support behavioral explanation of the momentum profit. We use VIX index as an approximate of market participants’ degree of fear, which is contrary to overconfidence level and explore the relation between momentum return and VIX index. We find strong negative correlation between them. VIX index is still statistically significant even after we control the cumulative market return used in previous study. The results are consistent with the behavioral explanation of momentum return.


Issue Date:
2012
Publication Type:
Conference Paper/ Presentation
DOI and Other Identifiers:
Record Identifier:
https://ageconsearch.umn.edu/record/124792
PURL Identifier:
http://purl.umn.edu/124792
Total Pages:
11




 Record created 2017-04-01, last modified 2020-10-28

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