Comparison of the Effect of Vix Fear Index on Stock Exchange Indices of Developed and Developing Countries: the G20 Case

İskenderoğlu, Ömer; Akdağ, Saffet

doi:10.2478/jeb-2020-0009

Cited by 16 publications

(5 citation statements)

References 37 publications

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“…It is worth noting that methods for exploring longterm relationships are widely used in not only financial analysis (e.g. (Fabozzi 2006;Matuszewska-Janica 2011;Witkowska et al 2012Gulzar et al 2019İskenderoglu and Akdağ 2020), including mutual funds: (Matallin and Nieto 2002;Pojanavatee 2014)) but also in macroeconomic analyses (e.g., Bilas et al 2017;Pasovic and Efendic 2018;Škare et al 2020). The Johansen tests constitute one of these tools.…”

Section: Methodsmentioning

confidence: 99%

Long-Term Relationships Between Mutual Funds and Equity Market

Matuszewska‐Janica

Żebrowska‐Suchodolska

2022

South East European Journal of Economics and Business

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Investment funds are an attractive form of investment, especially for those investors who do not want to invest on their own, but rather entrust their funds to professional managers. However, the question arises as to whether the fund managers can diversify the asset portfolio, or whether it is only a passive investment policy that largely imitates the stock market index. In this context, it becomes important to examine the long-term relationships between open-ended equity funds and the funds’ benchmarks (stock exchange indices). This study analyses series of weekly quotations for 15 FIOs and 4 indices of the Warsaw Stock Exchange (WSE) from 2004 to 2021. The Johansen method was used as the main tool. The results indicate a lack of long-term relationships between the quotations of the selected indices and the valuation of the vast majority of funds. This result may be due to the analysis covering quite a long period in which the stock exchange situation changed more than once. In the long-term, this may result in disturbances of the long-term balance to such an extent that the relation can no longer return to its long-term path, so the vast majority of the analysed funds do not follow the indices (their benchmarks). This observation can apply to both developed and emerging capital markets.

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Section: Methodsmentioning

confidence: 99%

Long-Term Relationships Between Mutual Funds and Equity Market

Matuszewska‐Janica

Żebrowska‐Suchodolska

2022

South East European Journal of Economics and Business

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“…The Granger causality test and a regression analysis enable the understanding of the effects of one index over another, as proposed by İskenderoglu and Akdag (2020) for the research of the causality of the VIX over the BIST-100 index. This research proposes to use the ordinary least squares (OLS) method to reveal the effects of the variables of interest and their past values whose selection comes from the results of the econometric tests previously mentioned.…”

Section: Iv) Linear Regression (Ols)mentioning

confidence: 99%

The impact of VXY and EM-VXY on the implied volatility of ATM option premiums for the USD/MXN exchange rate on the CBOE

García Luna Romero,

Salazar Garza,

Luis Zatarain

et al. 2023

TAJ

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A series of econometric tests is proposed to study the impact of the VXY and EM-VXY indices on the implicit volatility of at-the-money options of the USD/MXN exchange rate and the premiums on their call and put options. The objective is to determine if these indicators can predict future changes in implied volatility and be used as entry or exit flags in investment and hedging strategies. Additionally, the volatility index (VIX), the USD/MXN exchange rate, and the Mexican Federal Treasury Certificates and London Interbank Offered Rate rates are included as complementary variables. Results show that although the EM-VXY, VIX, and the exchange rate are statistically significant for implicit volatility modeling, they do not have a predictive power that allows them to be used as entry or exit indicators. None of the variables are significant for modeling the premiums in call and put options. This research contributes to the filtering of instruments that, despite their design, may not contribute to the understanding of markets in emerging countries, such as Mexico. Future studies can extend this methodology to other exchange rates, trying different combinations of rates.

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“…Additionally, a negative correlation was found between the VIX index, bond prices, emerging market stock indices, and oil prices. The causation association between the VIX index and stock markets from 11 industrialised and developing nations was examined by İskenderoglu, Ö., & Akdağ, S. (2020). Using daily data from January 2015 to December 2017, the Granger Causality and Frequency Analysis was performed.…”

Section: Literature Reviewmentioning

confidence: 99%

Capital Market Volatility During Crises: Oil Price Insights, VIX Index, and Gold Price Analysis

Hapau

2023

Management &Amp; Marketing

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The study aims to investigate capital market volatility during crises, exploring the relationships between three key financial indicators: oil prices, the VIX index, and gold prices, using monthly data covering the period from January 2013 to May 2023, based on the Granger causality approach and the impulse response function testing empirically the existence of the long-run relationship using Johansen multivariate approach and the estimation of the VAR/VECM model. By analysing their interdependencies, the research sheds light on how these indicators respond to economic turbulence. The study employs robust econometric methods to investigate causal relationships and predictive patterns, providing valuable insights for investors, policymakers, and analysts navigating uncertain financial landscapes. The findings reveal nuanced dynamics, such as the momentum in oil prices, the inverse relationship between oil prices and the VIX index, and a significant Granger causality relationship running from the VIX index to oil and gold prices. Furthermore, based on the impulse response patterns, the shock in the VIX index caused a notable oil price decrease in the second quarter after the shock, followed by oscillations. Gold prices exhibit a minor initial decline after the VIX shock, with no lasting effects.

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Comparison of the Effect of Vix Fear Index on Stock Exchange Indices of Developed and Developing Countries: the G20 Case

Cited by 16 publications

References 37 publications

Long-Term Relationships Between Mutual Funds and Equity Market

Long-Term Relationships Between Mutual Funds and Equity Market

The impact of VXY and EM-VXY on the implied volatility of ATM option premiums for the USD/MXN exchange rate on the CBOE

Capital Market Volatility During Crises: Oil Price Insights, VIX Index, and Gold Price Analysis

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