Stock Prices And Volatility, An Empirical Analysis 1999-2016
John C Scheuble
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.
Independent Research - Undergraduate
Trevor C Collier
Primary Advisor's Department
Economics and Finance
Stander Symposium poster
"Stock Prices And Volatility, An Empirical Analysis 1999-2016" (2017). Stander Symposium Posters. 967.