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

页码：27 / 40

页数：14

共 50 条

[31] The Volatility Spillover Effect between Index Options and their Underlying Markets: Evidence from the US, the UK, and Taiwan
Chan, Chia-Ying
de Peretti, Christian
Wang, Ming-Chun
Chen, Hong-Min
ASIA-PACIFIC JOURNAL OF FINANCIAL STUDIES, 2017, 46 (05) : 700 - 733
[32] Role of index futures on China's stock markets: Evidence from price discovery and volatility spillover
Miao, Hong
Ramchander, Sanjay
Wang, Tianyang
Yang, Dongxiao
PACIFIC-BASIN FINANCE JOURNAL, 2017, 44 : 13 - 26
[33] Volatility spillover from world oil spot markets to aggregate and electricity stock index returns in Turkey
Soytas, Ugur
Oran, Adil
APPLIED ENERGY, 2011, 88 (01) : 354 - 360
[34] Volatility spillover effect analysis of African emerging stock exchange markets: 2018–2023
Humphred Watard
Saidou Baba Oumar
Nkiendem Felix
SN Business & Economics, 4 (10):
[35] Islamic equity market integration and volatility spillover between emerging and US stock markets
Majdoub, Jihed
Mansour, Walid
NORTH AMERICAN JOURNAL OF ECONOMICS AND FINANCE, 2014, 29 : 452 - 470
[36] Volatility spillover in regional emerging stock markets - A structural time-series approach
Al-Deehani, Talla
Moosa, Imad A.
EMERGING MARKETS FINANCE AND TRADE, 2006, 42 (04) : 78 - 89
[37] VOLATILITY STATES AND SPILLOVER EFFECTS FOR ASIAN EMERGING MARKETS: MARKOV REGIME SWITCHING MODEL
Ho, Chi-Ming
Shih, Jyun-Yu
ACTUAL PROBLEMS OF ECONOMICS, 2012, (133): : 504 - 518
[38] Volatility spillover effects between Islamic stock markets and exchange rates: Evidence from three emerging countries
Erdogan, Seyfettin
Gedikli, Ayfer
Cevik, Emrah Ismail
BORSA ISTANBUL REVIEW, 2020, 20 (04) : 322 - 333
[39] Risk spillover networks in financial markets: Evidence from emerging markets
Jin, Yujia
Zhang, Ailian
Liu, Bai
MANAGERIAL AND DECISION ECONOMICS, 2023, 44 (06) : 3086 - 3107
[40] Return and volatility interdependences in up and down markets across developed and emerging countries
Kundu, Srikanta
Sarkar, Nityananda
RESEARCH IN INTERNATIONAL BUSINESS AND FINANCE, 2016, 36 : 297 - 311

← 1 2 3 4 5 →