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DTSTART;TZID=Europe/Helsinki:20240516T110000
DTEND;TZID=Europe/Helsinki:20240516T120000
DTSTAMP:20260710T185315
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SUMMARY:Stefan VOIGT (Univ. of Copenhagen) "MARKET RESPONSES TO A VIX IMPULSE"
DESCRIPTION:Finance & Financial Econometrics : \nTime: 11.00 am\nDate: 16th of May 2023\nRoom 3001 \nStefan VOIGT (Univ. of Copenhagen) “MARKET RESPONSES TO A VIX IMPULSE ” \nAbstract : Implied variance (VIX) impulses can be caused by either (i) an increase in expected future realized variance\, or (ii) an increase in the variance risk premium. We analyze twenty billion NASDAQ order book messages for equity and government-bond exchange-traded funds to delineate how the market responds to shocks in either of these two components. The response to a variance risk premium shock is that investors actively sell equities and buy government bonds on largely unchanged liquidity. The response to a expected realized variance shock\, on the other hand\, is active buying of equities on worse liquidity. We provide intuition for these findings.\n(joint with Nikolaus Hautsch and Albert J. Menkveld)\n \nOrganizers:\n\nJean-Michel ZAKOIAN (CREST) \nSponsors:\nCREST \n
URL:https://crest.science/event/stefan-voigt-univ-of-copenhagen-t-b-a/
CATEGORIES:Finance-Insurance,Financial Econometrics,Seminars
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