 The advantages of CBOE credit VIXs for corporate bond investors in North America: A sectoral analysisNajaf Iqbal, Elie Bouri and Oktay Ozkan Research in International Business and Finance, 2025, vol. 73, issue PA Abstract: This paper examines the safe-haven role of the recently introduced CBOE credit VIXs for investment-grade and high-yield corporate bonds, at both aggregate and sectoral levels. Using a time-varying quantile-based framework and daily data from June 5, 2014 to December 10, 2023, the safe-haven role of credit VIX is confirmed irrespective of bond sector. The safe-haven property of credit VIX is pronounced for high-yield bonds which embed a high credit risk-premium. This result stands when taking into account interest rate volatility, as measured by the MOVE index. A time-varying analysis shows the persistence of credit VIX as a safe-haven for all bond sectors after the COVID-19 pandemic and during a high US interest-rate regime. Corporate bond investors and traders can use these findings to refine their investment and trading decisions and offset credit risk during both normal and turbulent periods. Keywords: CBOE credit VIX; High-yield sector bonds; Investment-grade sector bonds; Cross-quantilograms and quantiles; Safe-haven; COVID-19 outbreak; Fed tightening cycle (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:eee:riibaf:v:73:y:2025:i:pa:s0275531924004008 DOI: 10.1016/j.ribaf.2024.102607 Access Statistics for this article Research in International Business and Finance is currently edited by T. Lagoarde Segot More articles in Research in International Business and Finance from Elsevier |
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