Risk-on/Risk-off: Financial market response to investor fear

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Risk-on/Risk-off: Financial market response to investor fear

This paper examines the relationship between changes in the level of investor fear (measured by VIX) and financial market returns. We document a statistically significant relationship, across asset classes, consistent with a flight to quality as investor fear increases. As VIX increase there is a de...

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Bibliographic Details
Main Author:	Smales, Lee
Format:	Journal Article
Published:	Academic Press 2016
Online Access:	http://hdl.handle.net/20.500.11937/22517

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