The volatility spillover effects among risk appetite indexes: insight from the VIX and the rise

Akdağ, Saffet; İskenderoğlu, Ömer; Alola, Andrew Adewale

doi:10.1007/s12076-020-00244-3

Cited by 16 publications

(9 citation statements)

References 72 publications

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“…Risk appetite of distinct investor types at the 10% level or better. These results align with those of Akdag et al (2020), which find a permanent causality from the VIX to the general RISE of Turkish investors, and they are expected because the VIX is accepted as a global crisis indicator monitored by investors worldwide (Whaley, 2000). The net MWald statistics take larger values at the end of the estimation period, trending higher in the last half of the sample.…”

Section: Notessupporting

confidence: 86%

The interconnectedness across risk appetite of distinct investor types in Borsa Istanbul

Ergün

Çağlı

Salı

2022

SEF

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Purpose This study aims to investigate the interconnectedness across the risk appetite of distinct investor types in Borsa Istanbul. This study also examines the causal impact of global implied volatility indices on the risk appetite of these investor groups. Design/methodology/approach The authors use a novel time-varying frequency connectedness framework of Chatziantoniou et al. and a new time-varying Granger causality test with a recursive evolving procedure by Shi et al. over June 2008 and July 2022. Findings The results show a high level of interconnectedness across the risk appetite of different investor types. The sizable spillovers to domestic types of investors either occur from professional or foreign investors, indicating the long-term dominant effect of foreign and more qualified investors on the domestic investors in Borsa Istanbul. The authors provide significant evidence of causality from the global implied volatility to the Borsa Istanbul risk appetite indices, which are getting stronger after the COVID-19 outbreak. Originality/value Unlike the previous studies, the authors analyze the risk appetite sub-indices of various types of investors to reveal behavioral distinctions and interconnectedness across them. The authors use a novel econometric framework to assess investors’ risk appetite in different investment horizons in a time-varying system. Together with volatility index (VIX), the authors also use volatilities of oil (OVX), gold (GVZ) and currency (EVZ), considering the information transmission not only from stock markets but also energy, metals and currency markets. The present data set covers significant financial crises, socioeconomic events and the COVID-19 outbreak.

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Section: Notessupporting

confidence: 86%

The interconnectedness across risk appetite of distinct investor types in Borsa Istanbul

Ergün

Çağlı

Salı

2022

SEF

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“…NASDAQ, which Granger causes Luxx and FTSE, has a bidirectional relationship with Nifty, and Luxx does not Granger causes any of the other indices. Furthermore, the volatility spillover on the Indian Stock market is checked through the GARCH(1,1) model, which reflects that the past innovation influences the present return of the index as the ARCH term is significant, which is consistent with the latest studies (Akdag et al, 2020;Baek et al, 2020;Bonilla & Sepúlveda, 2011). Also, the Indian Stock Market is influenced by the movement of the US stock market and the UK stock market, showing the spillover effect from crosslisting is significant,…”

Section: Discussionsupporting

confidence: 70%

Integrated Spillover Effect of Cross-Listed Stock Markets on the Indian Equity Market

Keshari¹,

Gautam²,

Singh³

2022

purushartha

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The increased integration due to cross-listing leads to the volatility spillover effect on the domestic market posing from the cross-listed global indices viz., Nifty 50 from India, Luxx 100 from Luxembourg, NASDAQ from the US, and FTSE_Aim 100 from the UK. Johansen Co-integration test is applied to check the level of integration, which is further checked by multivariate granger causality showing the causality pattern among the indices. GARCH (1,1) model is applied to examine the volatility spillover effect on the Indian Stock Market. The findings suggest that the series are co-integrated with one vector ‘v,’ which is confirmed by the Trace and Max-Eigen Test. The Multivariate Granger Causality test confirms the bivariate causal pattern between India and US markets, implying the dual effect. In contrast, the Luxembourg market is relatively exogenous, which gives investors an opportunity for portfolio diversification. ARCH term is significant in the GARCH (1,1) model showing that the past innovation in the time series leads to the present fluctuation in the Indian stock market. Also, the results show a significant spillover effect from the US and UK markets. Thus, this will assist the investors that by concentrating on the movement of these markets, they can take specific actions regarding portfolio management.

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“…Additionally, the market overreaction and volatility persevere in the long run if the sentiments capture industrial supply/demand shifts (Ni et al 2015;Shahzad et al 2019). Accordingly, studies found a significant longrun relationship between fear index (VIX) and stock returns (Bollerslev et al 2013;Akdag et al 2020). Since clean energy stocks are highly sensitive and dependent on demand (supply) shocks (Maghyereh and Abdoh 2021), we expect that the effect of investor sentiments (iVX) on solar energy stocks is negative and significant in the long run.…”

Section: Investor Sentiments and Energy Stocksmentioning

confidence: 95%

The asymmetric effect of temperature, exchange rate, metals, and investor sentiments on solar stock price performance in China: evidence from QARDL approach

Yahya

Razzaq

2022

Environ Sci Pollut Res

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The study investigates the asymmetric effect of temperature, exchange rate, metals (rare metals and electrical conductors), and investor sentiments on solar stock price performance in China. The novel econometric techniques, i.e., QARDL (quantile autoregressive distributive lag) approach and Granger causality-in-quantiles to analyze the results. In both short-and long-run estimations, the findings suggest that rare metals (cadmium, germanium, indium, and selenium) and electrical conductors (silver, aluminum, and copper) have significant and positive linkage with solar energy stocks at different quantiles based on bullish, bearish, and normal market conditions. On the other hand, negative effects are found for temperature, RMB exchange rate, and investor sentiments in both the short-and long-run. In the short run, the effect of exchange rate varies across different quantiles but it confines to only lower quantiles (bearish market condition) in the longer run. Solar stocks are more prone to investor sentiments under higher quantiles (bullish market conditions). Lastly, we find that temperature is not merely a behavioral anomaly for the solar energy market as it spreads across middle quantiles (normal market conditions) in the longer run. The findings of Granger causality in quantiles further confirm the results of QARDL.

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The volatility spillover effects among risk appetite indexes: insight from the VIX and the rise

Cited by 16 publications

References 72 publications

The interconnectedness across risk appetite of distinct investor types in Borsa Istanbul

The interconnectedness across risk appetite of distinct investor types in Borsa Istanbul

Integrated Spillover Effect of Cross-Listed Stock Markets on the Indian Equity Market

The asymmetric effect of temperature, exchange rate, metals, and investor sentiments on solar stock price performance in China: evidence from QARDL approach

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