# 15-002/IV/DSF 83 (2015-01-06)

Author(s)
Daniël Linders, KU Leuven, Leuven, Belgium; Jan Dhaene, KU Leuven, Leuven, Belgium; Wim Schoutens, KU Leuven, Leuven, Belgium
Keywords:
comonotonicity, herd behavior, HIX, index options, market fear, Model-free measures, VIX
JEL codes:
G13, G14

In this paper, we introduce two classes of indices which can be used to measure the market perception concerning the degree of dependency that exists between a set of random variables, representing diĀ¤erent stock prices at a …xed future date. The construction of these measures is based on the theory of comonotonicity. Both types of herd behavior indices are model-free and risk-neutral, derived from available option data. Depending on its particular de…nition, each index represents a particular aspect of the market sentiment concerning future co-movement of the underlying stock prices.