Stock Prices And Volatility, An Empirical Analysis 1999-2016

Authors

Presenter(s)

John C Scheuble

Files

Description

Financial economists believe there is an inverse relationship between market volatility and stock prices. In this study, I examine the relationship between S&P stock prices and VIX, the accepted measure of market volatility. Using regression analysis, I develop linear equations for 9 S&P SPDRS plus SPY, the ETF that proxies the S&P 500 index. I test the hypothesis that regression coefficients are less than zero, i.e. b<0, and the t statistics are greater than 2.The period of analysis is 1999-2016.

Publication Date

4-5-2017

Project Designation

Independent Research - Undergraduate

Primary Advisor

Trevor C. Collier

Primary Advisor's Department

Economics and Finance

Keywords

Stander Symposium project

Recommended Citation

"Stock Prices And Volatility, An Empirical Analysis 1999-2016" (2017). Stander Symposium Projects. 967.
https://ecommons.udayton.edu/stander_posters/967