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Can the VIX Signal Market's Direction? An Asymmetric Dynamic Strategy

Alessandro Paolo Luigi Cipollini

出版	SSRN, 2007
URL	http://books.google.com.hk/books?id=DO_YzgEACAAJ&hl=&source=gbs_api

註釋

The article shows statistically that the VIX Implied Volatility Index is an important driver of the Samp;P 500 future returns. The statistical analysis is performed by means of a regression based on dummy variables in order to circumvent the difficulties posed by the lack of linearity between the variables. The results obtained are then used to construct an automated procedure that signals daily whether it is convenient to invest in the Samp;P 500 or to stay put. Finally, we test the quality of the signal by implementing an asymmetrical buy-and-hold strategy with 3-months horizon on the Samp;P 500. Our results show that the strategy outperforms the long-only strategy on the same index, thus confirming a widespread belief among traders.