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
Jamie Khatri
is an investment research analyst at The Vanguard Group in Malvern, PA
Carol Zhu
is an investment product strategy analyst at The Vanguard Group in Shanghai, People’s Republic of China
James J. Rowley Jr.
is head of active/passive portfolio research at The Vanguard Group in Malvern, PA
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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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