Skew index: Descriptive analysis, predictive power, and short-term forecast

Mora–Valencia, Andrés; Rodríguez-Raga, Santiago; Vanegas, Esteban

doi:10.1016/j.najef.2020.101356

Cited by 6 publications

(3 citation statements)

References 55 publications

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“…SKEW and VIX data are obtained from the CBOE website. 8 Table 1 reports the yearly descriptive summary for the stocks listed on the NYSE (Panel A) and the NASDAQ (Panel B). The market capitalization (MarketCap) is computed as the share price multiplied by the total shares outstanding on the event day.…”

Section: Data and Descriptive Statisticsmentioning

confidence: 99%

“…They argue that SKEW (CBOE SKEW or ITSKEW) acts as a measure of market greed (excitement), and has a significant contemporaneous relation with returns. 2 However, Mora-Valencia et al [8] explain the SKEW index as a fear indicator. Liu and Faff [9] question the usefulness of SKEW as an indicator of institutional anxiety.…”

Section: Introductionmentioning

confidence: 99%

“…8 https://www.cboe.com/us/indices/dashboard/skew/ http://www.cboe.com/products/vix-index-volatility/vix-options-and-futures/vix-index/vix-historical-data.4Financial Crises -Challenges and Solutions…”

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confidence: 99%

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Investors’ Greed and Fear: An Event Study of Analyst Recommendations

Wang¹

2023

Business, Management and Economics

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We investigate the effect of the skewness developed by the CBOE, called SKEW, on investors’ reactions to analyst recommendations. Our results show that the abnormal stock returns around analyst recommendation revisions are closely correlated with contemporaneous SKEW changes. Specifically, positive (negative) abnormal returns following analyst recommendation upgrades (downgrades) are stronger when daily SKEW increases (decreases). A potential explanation for this relation is that SKEW captures investors’ greed (excitement) in the stock market. Similar to the CBOE VIX, SKEW might act as another measure to reflect investors’ moods or sentiments. However, in contrast to VIX, which is usually used as investors’ fear gauge, SKEW is the opposite of investors’ fear, measuring investors’ consensus view of future positive news. Furthermore, we show that the magnitudes of abnormal returns associated with the change in SKEW are larger for the NASDAQ than for the NYSE on recommendation announcement days. This may manifest the different types of firms listed on these two stock exchanges.

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Section: Data and Descriptive Statisticsmentioning

confidence: 99%