Tomasz Wisniewski, Master, of, Econ, Warsaw Stock Exchange, ul. Ksiazeca 4, Warsaw, 00498, Poland and Krzysztof Kompa, Ph.D., Department of Informatics, Warsaw University of Life Sciences, ul. Nowoursynowska 166, Warszawa, 02-787, Poland.
Launched in 1989 volatility indexes are getting more and nor popular investment instruments in last few years. Volatility indexes can be used as a market volatility and risk measure, underlying for derivatives instruments like futures, contracts and options. Volatility indexes are useful as a markets trends measures also.
The aim of the research is to compare investors behavior on the different markets taking into account the analysis of volatility indexes. Therefore the investigation covers time series of VIX evaluated on the basis of S&P500 and VWIG20 – the theoretical index of the golden companies quoted at the Warsaw Stock Exchange – WIG20. The research regards daily quotation in 2008.