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

İskenderoglu Ömer () and Akdag Saffet ()
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İskenderoglu Ömer: Phd, Professor, Department of Business, Nigde Ömer Halisdemir University, 5100, Nigde, Turkey
Akdag Saffet: Phd, Assistant Professor, Department of Banking and Finance, Tarsus University

South East European Journal of Economics and Business, 2020, vol. 15, issue 1, 105-121

Abstract: This 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.

Keywords: Risk Appetite; Frequency Domain Causality; Stock Exchange Indexes (search for similar items in EconPapers)
JEL-codes: C32 G11 G15 (search for similar items in EconPapers)
Date: 2020
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Persistent link: https://EconPapers.repec.org/RePEc:vrs:seejeb:v:15:y:2020:i:1:p:105-121:n:9

DOI: 10.2478/jeb-2020-0009

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