Extreme spillovers of VIX fear index to international equity markets

Cheuathonghua, Massaporn; Padungsaksawasdi, Chaiyuth; Boonchoo, Pattana; Tongurai, Jittima

doi:10.1007/s11408-018-0323-6

Cited by 35 publications

(15 citation statements)

References 46 publications

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“…In this respect, a number of recent studies have investigated the relationship between the VIX and European financial markets (e.g. Cheuathonghua et al, 2019;Tissaoui & Zaghdoudi 2021), given that the VIX has become the dominant measure of risk volatility in the financial world (Bardgett et al, 2019;Wang, 2019). However, very few studies investigate the spillover between the VIX and the European banking sector.…”

Section: Literature Reviewmentioning

confidence: 99%

“…This study uses the Chicago Board Options Exchange's (CBOE) Volatility Index (VIX) as a measure of the United States (US) stock market's expectation of volatility. This index is commonly known as the "fear index" or "fear gauge" (Ding et al, 2021;Simon & Wiggins III, 2001;Whaley, 2000Whaley, , 2009, and has been used to study volatility transmission during previous crisis periods (Cheuathonghua et al, 2019;Rodriguez-Nieto & Mollick, 2020), as well as to measure the transmission of volatility between financial entities (Kang et al, 2019;Pan et al, 2019). One key contribution of this paper is that we establish how changes in correlation patterns between European banks and the VIX occurred during the GFC and COVID-19 periods.…”

Section: Introductionmentioning

confidence: 96%

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Volatility impacts on the European banking sector: GFC and COVID-19

et al. 2022

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This paper analyses the volatility transmission between European Global Systematically Important Banks (GSIBs) and implied stock market volatility. A Dynamic Conditional Correlation Generalized Autoregressive Conditional Heteroskedasticity model is applied to determine the dynamic correlation between returns of Europe’s GSIBs and the world’s most prominent measure of market “fear”, the CBOE Volatility Index (VIX). The results identify a higher negative co-relationship between the VIX and GSIB returns during the COVID-19 period compared with the Global Financial Crisis (GFC), with one-day lagged changes in the VIX negatively Granger-causing bank returns. The asymmetric impact of changes in implied volatility is examined by quantile regressions, with the findings showing that in the lower quartile–where extreme negative bank returns are present–jumps in the VIX are highly significant. This effect is more pronounced during COVID-19 than during the GFC. Additional robustness analysis shows that these findings are consistent during the periods of the Swine Flu and Zika virus epidemics.

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Section: Literature Reviewmentioning

confidence: 99%

Section: Introductionmentioning

confidence: 96%

Volatility impacts on the European banking sector: GFC and COVID-19

et al. 2022

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“…In this manner, the Volatility Implied Index (VIX) has been used as a proxy for investor sentiment or fear specifically during the global financial crisis. Therefore, a large number of studies determined that developed and emerging stock markets are significantly affected by VIX specifically during financial turmoil periods (Whaley, 2000;Korkmaz and Çevik, 2009;Sarwar, 2012;and Cheuathonghua, Padungsaksawasdi, and Boonchoo, 2019).…”

Section: Data and Empirical Resultsmentioning

confidence: 99%

The effects of the covid-19 pandemic on conventional and islamic stock markets in Turkey

2020

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In order to reveal the macroeconomic effects of the Covid-19 pandemic, financial markets should also be handled in addition to the real sector. Investigating the changes in the stock market may give clues to analyze the effects of the pandemic on financial markets. The researches in question can be carried out for a country group or a single country. Studies that are conducted for a single country allow researchers to analyze problems more precisely and put forward more specific and convenient policy suggestions. Furthermore, while investigating the effect of the pandemic on stock markets, handling conventional and Islamic stock markets together can provide more comparative and realistic data in determining the policies regarding financial markets. The aim of the study is to examine the reaction of conventional and Islamic stock markets to the Covid-19 outbreak in Turkey. In the study, the DCC-GARCH method was applied by using the daily data from Feb 10, 2011 to Sep 02, 2020. The empirical results indicated that Islamic stock markets are more stable to the global Covid-19 outbreak shock than the conventional stock market in Turkey. Based on these findings it can be suggested that Turkey should take steps to support the development of the Islamic financial system to have a sounder financial system.

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“…Investors who would invest in tourism companies are also recommended to monitor the VIX. The second study, Cheuathonghua, et. al., (2019), was conducted to analyze the effect of the VIX spillovers on 42 international equity markets in 25 developed and 17 developing countries using the daily data obtained over the period of 01.…”

Section: Literature Reviewmentioning

confidence: 99%

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

İskenderoğlu

Akdağ

2020

South East European Journal of Economics and Business

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AbstractThis study aims to examine the potential causal relationship between the VIX and the indicator stock exchange index returns of G20 (9 developed and 10 developing) countries. Nineteen countries of the sample are G20 countries with available data. In this respect, the frequency domain Granger causality test of Breitung and Candelon (2006) is employed for the daily data between March 2011 and December 2017. The results obtained from the study indicate that there is no causal relationship between the VIX and the returns of the NASDAQ 100 index in developed countries. Similarly, no causal relationship is detected which runs from the VIX to the BIST100, BOVESPA, MERVAL, S&P/BMV IPC and TADAWUL stock index returns in developing countries. As a result, the causal relationship is more tend to be found in developed countries in comparison to developing countries.

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Extreme spillovers of VIX fear index to international equity markets

Cited by 35 publications

References 46 publications

Volatility impacts on the European banking sector: GFC and COVID-19

Volatility impacts on the European banking sector: GFC and COVID-19

The effects of the covid-19 pandemic on conventional and islamic stock markets in Turkey

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

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