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Is market fear persistent? A long-memory analysis

Guglielmo Maria Caporale, Gil-Alana, Luis 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
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Working Paper: Is Market Fear Persistent? A Long-Memory Analysis (2017) Downloads
Working Paper: Is Market Fear Persistent? A Long-Memory Analysis (2017) Downloads
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