Historical Abstracts

We conjecture that the VIX effect may be driven by investors' mood
and emotions. Since VIX reflects the implied future volatility, it may be
interpreted as a measure of market sentiment such that its changes may
be negatively correlated with contemporaneous investors’ mood, or
alternatively, that the daily increases in the value of VIX are associated
with increased investors' anxiety. We hypothesize, therefore, that
investors in good (bad) mood may perceive positive (negative) future
financial outcomes as more probable and thus, react stronger to analyst
recommendation upgrades (downgrades).