Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/107871
Authors: 
Linders, Daniël
Dhaene, Jan
Schoutens, Wim
Year of Publication: 
2015
Series/Report no.: 
Tinbergen Institute Discussion Paper 15-002/IV/DSF83
Abstract: 
In this paper, we introduce two classes of indices which can be used to measure the market perception concerning the degree of dependency that exists between a set of random variables, representing di¤erent stock prices at a xed future date. The construction of these measures is based on the theory of comonotonicity. Both types of herd behavior indices are model-free and risk-neutral, derived from available option data. Depending on its particular de nition, each index represents a particular aspect of the market sentiment concerning future co-movement of the underlying stock prices.
Subjects: 
comonotonicity
herd behavior
HIX
index options
market fear
Model-free measures
VIX
JEL: 
G13
G14
Document Type: 
Working Paper

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