Using VIX Data to Enhance Technical Trading Signals

The purpose of this paper is to provide new insights into the relationship between technical analysis and implied market volatility (VIX) by calculating technical trading rules with the VIX price data, as opposed to the stock prices. Three trending trading rule signals are calculated on the prices of three major U.S. indices and the VIX prices. The results reveal that the trading signals calculated with the VIX level provides large, statistically significant profits that are in excess of the profits from the traditional computation. Sub-period analysis reveals that technical trading rules were most (least) profitable during the period with the highest (lowest) volatility levels

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Year of publication:	2011
Authors:	Kozyra, James
Other Persons:	Lento, Camillo (contributor)
Publisher:	[2011]: [S.l.] : SSRN
Subject:	Finanzanalyse \| Financial analysis \| Börsenkurs \| Share price \| Volatilität \| Volatility \| Aktienindex \| Stock index

Extent:	1 Online-Ressource (6 p)
Type of publication:	Book / Working Paper
Language:	English
Notes:	Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments September 18, 2011 erstellt
Other identifiers:	10.2139/ssrn.1930018 [DOI]
Classification:	C4 - Econometric and Statistical Methods: Special Topics ; C22 - Time-Series Models ; G14 - Information and Market Efficiency; Event Studies ; G19 - General Financial Markets. Other
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10013120392