Tinbergen Institute Discussion Paper 15-002/IV/DSF83
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.
comonotonicity herd behavior HIX index options market fear Model-free measures VIX