Is market fear persistent? A long-memory analysis

Guglielmo Maria Caporale, Luis Gil-Alana and Alex Plastun

Finance Research Letters, 2018, vol. 27, issue C, 140-147

Abstract: This paper investigates the degree of persistence of market fear in the VIX index over the sample period 2004–2016, as well as some sub-periods. The findings indicate that its properties change over time: in normal periods it exhibits anti-persistence, whilst during crisis period the level of persistence is increasing. These results can be informative about the nature of financial bubbles and anti-bubbles, and provide evidence on whether there exist market inefficiencies that could be exploited to make abnormal profits by designing appropriate trading strategies.

Keywords: Market fear; VIX; Persistence; Long memory; R/S analysis; Fractional integration (search for similar items in EconPapers)
JEL-codes: C22 G12 (search for similar items in EconPapers)
Date: 2018
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (14)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S1544612317303793
Full text for ScienceDirect subscribers only

Related works:
Working Paper: Is Market Fear Persistent? A Long-Memory Analysis (2017)
Working Paper: Is Market Fear Persistent? A Long-Memory Analysis (2017)
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:eee:finlet:v:27:y:2018:i:c:p:140-147

DOI: 10.1016/j.frl.2018.02.007

Access Statistics for this article

Finance Research Letters is currently edited by R. Gençay

More articles in Finance Research Letters from Elsevier
Bibliographic data for series maintained by Catherine Liu ().