• HFRC Forschung

Detailübersicht

Publication Zur Rendite-Risiko-Beziehung am deutschen Aktienmarkt: Eine empirische Analyse der Beziehung zwischen dem deutschen Aktienindex DAX und dem Volatilitätsindex VDAX

Type

Refereed Article

Year

2012

Author(s)

Hubert Dichtl
Wolfgang Drobetz

Journal

Kredit und Kapital

Volume

45

Pages

373-406

Research Area

Capital Markets
Asset Management

Keywords

Risk/Yield Relationship, Volatility

Abstract

This study examines the empirical relationship between the volatility indices VDAX as well as VDAX-New and the stock market index DAX. Extending prior international evidence, we document a negative relationship between the implied volatility indexes and the stock market index for the German stock market. This negative relationship is asymmetric, i.e., it is more pronounced for negative stock returns than for positive ones. In contrast, we are unable to uncover additional quadratic effects, which could be interpreted as investor panic or exuberance. These findings are robust with regards to the selected volatility index, data frequency, and sample period. Overall, our empirical results are consistent with loss aversion and prospect theory. Finally, we document weak predictability of daily volatility index returns using lagged stock market returns, and this relationship is strongest in bear market periods. These observations could be explained with the leverage effect hypothesis.

Download

Article available here