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The Journal of Index Investing

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With Greater Uncertainty Comes Greater Volatility

Inna Zorina, Jamie Khatri, Carol Zhu and James J. Rowley
The Journal of Index Investing Winter 2019, 10 (3) 6-14; DOI: https://doi.org/10.3905/jii.2019.1.077
Inna Zorina
is a senior investment analyst at The Vanguard Group in Southbank, Victoria, Australia
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Jamie Khatri
is an investment research analyst at The Vanguard Group in Malvern, PA
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Carol Zhu
is an investment product strategy analyst at The Vanguard Group in Shanghai, People’s Republic of China
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James J. Rowley Jr.
is head of active/passive portfolio research at The Vanguard Group in Malvern, PA
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The Journal of Index Investing: 10 (3)
The Journal of Index Investing
Vol. 10, Issue 3
Winter 2019
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With Greater Uncertainty Comes Greater Volatility
Inna Zorina, Jamie Khatri, Carol Zhu, James J. Rowley
The Journal of Index Investing Nov 2019, 10 (3) 6-14; DOI: 10.3905/jii.2019.1.077

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With Greater Uncertainty Comes Greater Volatility
Inna Zorina, Jamie Khatri, Carol Zhu, James J. Rowley
The Journal of Index Investing Nov 2019, 10 (3) 6-14; DOI: 10.3905/jii.2019.1.077
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  • Article
    • Abstract
    • MEASURES OF MARKET VOLATILITY
    • VOLATILITY IS NOT LINKED TO THE SIZE OF INDEXING
    • MARKET VOLATILITY IS CORRELATED WITH MACROECONOMIC FACTORS
    • TESTING THE RELATIONSHIP OF MARKET VOLATILITY WITH GROWTH OF INDEXING AND MACROECONOMIC FACTORS
    • MULTIVARIATE REGRESSION ANALYSIS
    • ANALYZING THE CAUSAL RELATIONSHIP BETWEEN MARKET VOLATILITY, GROWTH OF INDEXING, AND POLICY UNCERTAINTY
    • CONCLUSION
    • ADDITIONAL READING
    • ENDNOTES
    • REFERENCES
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