Integrating Volatility Shocks Into Financial Management Methodologies: Evidence From US Equity

Ismailov Dilshod

doi:https://doi.org/10.54216/JIER.010203

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Volume 1 • Issue 2 • PP: 23-28 • 2025

Integrating Volatility Shocks Into Financial Management Methodologies: Evidence From US Equity

Ismailov Dilshod Anvarjonovich ^1*

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¹Researcher of Tashkent State, University of Economics, Uzbekistan

* Corresponding Author.

DOI https://doi.org/10.54216/JIER.010203

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Received: March 03, 2025 Revised: April 10, 2025 Accepted: June 06, 2025

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Abstract

This study examines the relationship between implied market volatility and US equity market excess returns over the period August 2020 to December 2024. Using monthly data from the Fama–French Data Library and the CBOE Volatility Index (VIX), the analysis distinguishes between the effects of absolute VIX levels and monthly changes in VIX (ΔVIX). Results indicate that while high volatility levels show a weak, statistically insignificant relationship with returns, volatility shocks (ΔVIX) exert a strong and significant negative effect, with a one-point increase in ΔVIX linked to a 0.81 percentage point drop in monthly excess returns. The findings support integrating ΔVIX into investment appraisal, risk management, and tactical asset allocation frameworks to improve resilience during periods of market stress.

Keywords

Volatility shocks VIX &Delta VIX Investment management Financial risk US equity markets Excess returns Market uncertainty

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Anvarjonovich, Ismailov Dilshod. "Integrating Volatility Shocks Into Financial Management Methodologies: Evidence From US Equity." Journal of International Economics Research, vol. Volume 1, no. Issue 2, 2025, pp. 23-28. DOI: https://doi.org/10.54216/JIER.010203

Anvarjonovich, I. (2025). Integrating Volatility Shocks Into Financial Management Methodologies: Evidence From US Equity. Journal of International Economics Research, Volume 1(Issue 2), 23-28. DOI: https://doi.org/10.54216/JIER.010203

Anvarjonovich, Ismailov Dilshod. "Integrating Volatility Shocks Into Financial Management Methodologies: Evidence From US Equity." Journal of International Economics Research Volume 1, no. Issue 2 (2025): 23-28. DOI: https://doi.org/10.54216/JIER.010203

Anvarjonovich, I. (2025) 'Integrating Volatility Shocks Into Financial Management Methodologies: Evidence From US Equity', Journal of International Economics Research, Volume 1(Issue 2), pp. 23-28. DOI: https://doi.org/10.54216/JIER.010203

Anvarjonovich I. Integrating Volatility Shocks Into Financial Management Methodologies: Evidence From US Equity. Journal of International Economics Research. 2025;Volume 1(Issue 2):23-28. DOI: https://doi.org/10.54216/JIER.010203

I. Anvarjonovich, "Integrating Volatility Shocks Into Financial Management Methodologies: Evidence From US Equity," Journal of International Economics Research, vol. Volume 1, no. Issue 2, pp. 23-28, 2025. DOI: https://doi.org/10.54216/JIER.010203

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