Implied volatility linkages between the U.S. and emerging equity markets: A note

Anupam Dutta

Global Finance Journal, 2018, vol. 35, issue C, 138-146

Abstract: This paper investigates stock market integration among the U.S. and two leading emerging markets—China and Brazil—using their implied volatility indexes published by the Chicago Board of Options Exchange (CBOE). Employing ARDL bound tests, we find strong evidence of long-run transmission of uncertainty from the U.S. market to other markets. Additionally, results from a bivariate VAR-GARCH model indicate high correlations among the equity markets, which may diminish the gains from portfolio diversification between the U.S. market and the emerging markets under study. Finally, the Toda-Yamamoto version of the Granger causality test also suggests significant links among the volatility indexes under study.

Keywords: VIX; ARDL bound tests; Emerging markets (search for similar items in EconPapers)
JEL-codes: G15 (search for similar items in EconPapers)
Date: 2018
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (15)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:glofin:v:35:y:2018:i:c:p:138-146

DOI: 10.1016/j.gfj.2017.09.002

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