Ambiguity about volatility and investor behavior

Dimitrios Kostopoulos, Steffen Meyer*, Charline Uhr

*Corresponding author for this work

Research output: Contribution to journalJournal articleResearchpeer-review


We relate time-varying aggregate ambiguity about volatility (V-VSTOXX) to individual investor trading. We use the trading records of more than 100,000 individual investors from a large German online brokerage from March 2010 to December 2015. We find that an increase in ambiguity is associated with increased investor activity. It also leads to a reduction in risk-taking, which does not reverse over the following days. Ambiguity averse investors are more prone to ambiguity shocks. These results replicate when using the dispersion of professional forecasters as a long-term measure of ambiguity and are robust when controlling for newspaper- or market-based ambiguity measures.

Original languageEnglish
JournalJournal of Financial Economics
Issue number1
Pages (from-to)277-296
Publication statusPublished - Jul 2022

Bibliographical note

Publisher Copyright:
© 2021


  • Ambiguity
  • Individual investor
  • Risk-taking
  • Trading behavior
  • Uncertainty


Dive into the research topics of 'Ambiguity about volatility and investor behavior'. Together they form a unique fingerprint.

Cite this