---
title: Implied Volatility and Return Relationship
url: https://www.ml-quant.com/papers/repec/gam-jjrfmx-v-17-y-2024-i-1-p-39-d-1321582/
site: ML-Quant (https://www.ml-quant.com)
updated: 2026-09-26
license: Summaries CC BY 4.0; links go to the original sources
index: https://www.ml-quant.com/llms.txt
identifier: RePEc:gam:jjrfmx:v:17:y:2024:i:1:p:39-:d:1321582
source_url: https://econpapers.repec.org/scripts/redir.pf?u=https%3A%2F%2Fwww.mdpi.com%2F1911-8074%2F17%2F1%2F39%2Fpdf%3Bh%3Drepec%3Agam%3Ajjrfmx%3Av%3A17%3Ay%3A2024%3Ai%3A1%3Ap%3A39-%3Ad%3A1321582
featured: 2024-01-23
citations: unknown
topic: Derivatives & Volatility
---


# Implied Volatility and Return Relationship

The research applies the VIX method to individual equity options data, discovering a negative correlation between equity return and volatility, indicating behavioral biases over leverage and volatility-feedback effects.

- Source: https://econpapers.repec.org/scripts/redir.pf?u=https%3A%2F%2Fwww.mdpi.com%2F1911-8074%2F17%2F1%2F39%2Fpdf%3Bh%3Drepec%3Agam%3Ajjrfmx%3Av%3A17%3Ay%3A2024%3Ai%3A1%3Ap%3A39-%3Ad%3A1321582
- Identifier: RePEc:gam:jjrfmx:v:17:y:2024:i:1:p:39-:d:1321582
- Released: 2024-01-23
- First featured: Quant Letter No. 34 (2024-01-23): https://www.ml-quant.com/issues/2024-01-23/
- Citations (Semantic Scholar): not tracked
- Published in: not yet
- Topic: Derivatives & Volatility

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