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Erscheinungsjahr: 
2015
Schriftenreihe/Nr.: 
Tinbergen Institute Discussion Paper No. 15-002/IV/DSF83
Verlag: 
Tinbergen Institute, Amsterdam and Rotterdam
Zusammenfassung: 
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.
Schlagwörter: 
comonotonicity
herd behavior
HIX
index options
market fear
Model-free measures
VIX
JEL: 
G13
G14
Dokumentart: 
Working Paper
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