Does the US Fear Gauge Impact on the Investor Fear Gauge in the Emerging Markets?

Yen-Hsien Lee

Journal of Emerging Market Finance, 2015, vol. 14, issue 3, 197-209

Abstract: This article investigates the investor fear gauge linkages among the American and emerging markets, such as, India (India volatility index (IVIX)), South Korea (Volatility Korea Composite Stock Price Index (VKSOPI)), South Africa (South African Volatility Index (SAVI)) and Russian (Russian Volatility Index (RTSVX)). This article further captures the diffusion and jump relationships between the volatility indices (VIXs) in US and emerging markets by applying the correlated bivariate Poisson (CBP) jump model. The empirical result found that the change in the VIX in the US has a substantial impact over the change in the VIXs of emerging markets. The changes in the VIXs exhibit individual jump behaviour. Finally, this article found the time-varying joint jump intensity between the VIXs in US and emerging markets. JEL Classification: C32, C5

Keywords: Emerging markets; volatility index; investor fear gauge; correlated bivariate Poisson process (search for similar items in EconPapers)
Date: 2015
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
https://journals.sagepub.com/doi/10.1177/0972652715601909 (text/html)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:sae:emffin:v:14:y:2015:i:3:p:197-209

DOI: 10.1177/0972652715601909

Access Statistics for this article

More articles in Journal of Emerging Market Finance from Institute for Financial Management and Research
Bibliographic data for series maintained by SAGE Publications ().