Is VIX an investor fear gauge in BRIC equity markets?
Journal of Multinational Financial Management, 2012, vol. 22, issue 3, 55-65
This study examines the intertemporal relationships between CBOE market volatility index (VIX) and stock market returns in Brazil, Russia, India, and China (BRIC), and between VIX and U.S. stock market returns, to uncover if VIX serves as an investor fear gauge in BRIC and U.S. markets. We conduct the VIX-returns analysis for the 1993–2007 period.
Keywords: VIX; Fear gauge; BRIC; Volatility (search for similar items in EconPapers)
JEL-codes: G15 G11 (search for similar items in EconPapers)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:mulfin:v:22:y:2012:i:3:p:55-65
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