Advances in Economics, Management and Political Sciences

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Proceedings of the 2nd International Conference on Business and Policy Studies

Series Vol. 13 , 13 September 2023


Open Access | Article

Effective Factors under Stock Market Regimes

Jiaxuan Zhang * 1
1 University of Toronto Scarborough Campus

* Author to whom correspondence should be addressed.

Advances in Economics, Management and Political Sciences, Vol. 13, 52-58
Published 13 September 2023. © 2023 The Author(s). Published by EWA Publishing
This article is an open access article distributed under the terms and conditions of the Creative Commons Attribution (CC BY) license, which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited.
Citation Jiaxuan Zhang. Effective Factors under Stock Market Regimes. AEMPS (2023) Vol. 13: 52-58. DOI: 10.54254/2754-1169/13/20230671.

Abstract

The Chicago Board Options Exchange (CBOE) Volatility Index (VIX) is a measurement of volatility in the stock market, which is closely associated with the return of the risk premium. This paper categorized the monthly log returns of VIX by Gaussian Mixture Models (GMM) and investigates the driving factors of VIX among the Equity Market Volatility (EMV) trackers under different regimes using the elastic net linear regression model. As a result of categorization, two regimes in log returns of VIX are found. Regime 1 with a lower mean covers most of the months, while regime 2 with a higher mean captures the months of extreme log returns. In months of both regimes, the policy-related factor significantly and independently affects VIX. Another factor that largely affects VIX in regime 1 is the macroeconomy and other factors have little impact on VIX in regime 1. Infectious disease, policy, and government related factors are more important in affecting VIX in regime 2.

Keywords

financial economics, machine learning, CBOE Volatility Index (VIX), US news-based equity market uncertainty (EMV)

References

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Data Availability

The datasets used and/or analyzed during the current study will be available from the authors upon reasonable request.

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Volume Title
Proceedings of the 2nd International Conference on Business and Policy Studies
ISBN (Print)
978-1-915371-69-0
ISBN (Online)
978-1-915371-70-6
Published Date
13 September 2023
Series
Advances in Economics, Management and Political Sciences
ISSN (Print)
2754-1169
ISSN (Online)
2754-1177
DOI
10.54254/2754-1169/13/20230671
Copyright
© 2023 The Author(s)
Open Access
This article is an open access article distributed under the terms and conditions of the Creative Commons Attribution (CC BY) license, which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited

Copyright © 2023 EWA Publishing. Unless Otherwise Stated