Stock Prices And Volatility, An Empirical Analysis 1999-2016

Stock Prices And Volatility, An Empirical Analysis 1999-2016

    Presenter(s)

    John C Scheuble

    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

    Stock Prices And Volatility, An Empirical Analysis 1999-2016

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