*3.2.1 The effect on day* �*1 and day 0*

To make a comparison with VIX, we test the relationship between changes in VIX (ΔVIXÞ and abnormal returns around recommendation revisions. Kliger and Kudryavtsev [16] only examine stocks listed on the NYSE. We extend our tests to stocks listed on the NASDAQ as well. **Table 6** reports the results on days �1 and 0.

Panels A and B present the results for the NYSE and the NASDAQ, respectively. ΔVIX is the change of VIX price corresponding to day *t* for stock *i*'s recommendation revisions. Consistent with the findings of Kliger and Kudryavtsev [16], the

<sup>10</sup> The results are not reported but are available upon request.

<sup>11</sup> The effect of VIX is examined in [16], which only includes firms listed on the NYSE. The purpose of Section 3.2 has twofold. First, we compare the different effects of SKEW and VIX. Second, we extend the test in [16] and compare the effect of VIX on firms listed on the NYSE and those listed on the NASDAQ.

*Investors' Greed and Fear: An Event Study of Analyst Recommendations DOI: http://dx.doi.org/10.5772/intechopen.107187*


#### **Table 6.**

*The effect of contemporaneous daily changes in VIX on the abnormal returns (ARs) around event days for the NYSE (Panel A) and the NASDAQ (Panel B).*

contemporaneous VIX changes have a statistically significant effect on the abnormal returns around recommendation revisions. An increase (decrease) in VIX is associated with a smaller (larger) average AR for both upgrades and downgrades compared with the unconditional AR (see **Table 2**).

However, the results for changes in VIX are in contrast to those for changes in SKEW. Take the NYSE, day 0 and upgrades for example. For ΔVIX>0, the average AR is 0.84%, but for ΔVIX< 0, it becomes larger with a value of 2.67%. These results indicate that a higher abnormal return is associated with a *decrease* in VIX (i.e., decrease in investors' fear). However, for ΔSKEW>0, the average AR is 2.25%, but for ΔSKEW<0, it becomes smaller with a value of 1.52%, which suggests that a higher abnormal return is related to an *increase* in SKEW (i.e., increase in investors' greed).

For the NASDAQ, the results are generally consistent with those for the NYSE. Again, on day �1, the corresponding magnitudes of the average AR for all cases are very close to those for the NYSE. However, on day 0, the corresponding magnitudes of the average AR are larger for the NASDAQ than for the NYSE. In the comparison between the NYSE and the NASDAQ, the results related to VIX are in line with those associated with SKEW. Overall, these results patterns could commonly be explained by the potential difference in the types of listing firms and the ways how investors perceive the firms listed on the different stock exchanges.
