When no news is good news - The decrease in investor fear after the FOMC announcement
| aut.researcher | Frijns, Bart Pieter Marie | |
| dc.contributor.author | Frijns, BPM | |
| dc.contributor.author | Fernandez-Perez, A | |
| dc.date.accessioned | 2016-01-28T03:46:51Z | |
| dc.date.available | 2016-01-28T03:46:51Z | |
| dc.date.copyright | 2015-02-20 | |
| dc.date.issued | 2015-02-20 | |
| dc.description.abstract | This paper examines the impact of FOMC announcements on the intraday behavior of the VIX and VIX futures. We find that the VIX and the VIX futures start to decline immediately after the FOMC announcement, and this decline persists for about 45 minutes after the announcement. The VIX declines by about 3% on announcement days, whereas the nearest term VIX futures contract declines by about 1.40% around the announcement. We further note that the decline in the VIX and VIX futures is inversely related to the increase in realized volatility around the FOMC announcement. We show that on days with an FOMC announcement, a trading strategy, going short on the VIX futures at the start of the day and closing the position at the end of the same day, yields a return of about 10% p.a. | |
| dc.identifier.citation | New Zealand Finance Colloquium held at Waikato University, Hamilton, NZ, 2015-02-18 to 2015-02-20 | |
| dc.identifier.uri | https://hdl.handle.net/10292/9444 | |
| dc.publisher | The New Zealand Finance Colloquium | |
| dc.relation.uri | http://www.nzfc.ac.nz/archives/2015/papers/programme/135.pdf | |
| dc.rights | NOTICE: this is the author’s version of a work that was accepted for publication. Changes resulting from the publishing process, such as peer review, editing, corrections, structural formatting, and other quality control mechanisms may not be reflected in this document. Changes may have been made to this work since it was submitted for publication. A definitive version was subsequently published in (see Citation). The original publication is available at (see Publisher's Version). | |
| dc.rights.accessrights | OpenAccess | |
| dc.subject | VIX; VIX Futures; FOMC announcement; Intraday data | |
| dc.title | When no news is good news - The decrease in investor fear after the FOMC announcement | |
| dc.type | Conference Contribution | |
| pubs.elements-id | 179734 | |
| pubs.organisational-data | /AUT | |
| pubs.organisational-data | /AUT/Business & Law | |
| pubs.organisational-data | /AUT/Business & Law/Finance | |
| pubs.organisational-data | /AUT/Business & Law/Finance/Finance PBRF 2012 |