Volatility Spillover from the Fear Index to Developed and Emerging Markets

被引：36
|
作者：
Badshah, Ihsan U. [1 ]
机构：
[1] Auckland Univ Technol, AUT Business Sch, Dept Finance, Private Bag 92006, Auckland 1142, New Zealand
来源：
EMERGING MARKETS FINANCE AND TRADE | 2018年 / 54卷 / 01期
关键词：
emerging markets; implied volatility spillovers; VIX; VXEEM; VXEFA; GLOBAL FINANCIAL CRISIS; EQUITY MARKETS; CONTAGION; INTERDEPENDENCE; RETURNS;
D O I：
10.1080/1540496X.2016.1220294
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
This article examines cross-market volatility linkages among the fear index (VIX), the developed- market index (VXEFA), and the emerging-market index (VXEEM). Analysis on the first moments of volatilities reveals that the fear index has a leading role and has information content for VXEFA and VXEEM. A shock to the fear index spillovers to VXEFA and VXEEM and contributes 57.07% and 63.77% to their shocks, respectively. Further analysis on the second moments of volatilities confirms that the volatility indices are highly dynamically correlated while the fear index drives the correlation dynamics with the VXEEM. Correlations increase in turbulent periods and decrease in tranquil periods.
引用
收藏
页码：27 / 40
页数：14
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