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- W2897985725 abstract "Our work relates to the literature supporting that the VIX also mirrors investor sentiment and, thus, contains useful information regarding future S&P500 returns. The objective of this empirical analysis is to verify if the shape of the volatility futures term structure has signaling effects regarding future equity price movements, as several investors believe. Our findings generally support the hypothesis that the VIX term structure can be employed as a contrarian market timing indicator. The empirical analysis of this study has important practical implications for financial market practitioners, as it shows that they can use the VIX futures term structure not only as a proxy of market expectations on forward volatility, but also as a stock market timing tool." @default.
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- W2897985725 date "2019-07-01" @default.
- W2897985725 modified "2023-09-25" @default.
- W2897985725 title "VIX Futures as a Market Timing Indicator" @default.
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- W2897985725 doi "https://doi.org/10.3390/jrfm12030113" @default.
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