Empirical analysis of term structure shifts

2020 ◽  
Author(s):  
Joel R. Barber
Keyword(s):  
Empirical Analysis ◽  
Term Structure

The Term Structure of Equity Risk: An Empirical Analysis

CFA Digest ◽  
1997 ◽  
Vol 27 (1) ◽  
pp. 56-57
Author(s):  
H. Kent Baker
Keyword(s):  
Empirical Analysis ◽  
Term Structure ◽  
Equity Risk

scholarly journals VIX Futures as a Market Timing Indicator

2019 ◽  
Vol 12 (3) ◽  
pp. 113 ◽  
Author(s):  
Fassas ◽  
Hourvouliades
Keyword(s):  
Empirical Analysis ◽  
Term Structure ◽  
Financial Market ◽  
Market Timing ◽  
Investor Sentiment ◽  
Vix Futures ◽  
Equity Price ◽  
The Empirical Analysis ◽  
Practical Implications ◽  
Stock Market Timing

Our work relates to the literature supporting that the VIX also mirrors investor sentiment and, thus, contains useful information regarding future S&P500 returns. The objective of this empirical analysis is to verify if the shape of the volatility futures term structure has signaling effects regarding future equity price movements, as several investors believe. Our findings generally support the hypothesis that the VIX term structure can be employed as a contrarian market timing indicator. The empirical analysis of this study has important practical implications for financial market practitioners, as it shows that they can use the VIX futures term structure not only as a proxy of market expectations on forward volatility, but also as a stock market timing tool.

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