Economics at your fingertips  

Extreme spillovers of VIX fear index to international equity markets

Massaporn Cheuathonghua (), Chaiyuth Padungsaksawasdi (), Pattana Boonchoo () and Jittima Tongurai ()
Additional contact information
Massaporn Cheuathonghua: Thammasat University
Chaiyuth Padungsaksawasdi: Thammasat University
Pattana Boonchoo: Thammasat University
Jittima Tongurai: Kobe University

Financial Markets and Portfolio Management, 2019, vol. 33, issue 1, 1-38

Abstract: Abstract This study analyzes the impact of VIX spillovers on market activities during extreme market conditions in 42 international equity markets from 1998 to 2014. Specifically, tail cross-dependence suggests that a small change in VIX significantly influences global market activities during extreme market conditions. The impact of VIX is asymmetric, which is more pronounced in bearish, highly volatile, and low trading volume markets. Moreover, VIX spillovers exhibit a stronger impact on returns in developed markets and on volatility in emerging markets. In terms of geographical location, the impact of VIX spillovers is more pronounced on returns in Europe and on volatility in Latin America. These findings indicate that international investors can potentially benefit from international portfolio diversification and can serve as useful guidance to policymakers in designing appropriate policies.

Keywords: VIX; Tail distribution; Extreme market conditions; International equity market (search for similar items in EconPapers)
JEL-codes: F36 G15 F3 (search for similar items in EconPapers)
Date: 2019
References: View references in EconPapers View complete reference list from CitEc
Citations: Track citations by RSS feed

Downloads: (external link) Abstract (text/html)
Access to full text is restricted to subscribers.

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:

Ordering information: This journal article can be ordered from
http://www.springer. ... nt/journal/11408/PS2

Access Statistics for this article

Financial Markets and Portfolio Management is currently edited by Manuel Ammann

More articles in Financial Markets and Portfolio Management from Springer, Swiss Society for Financial Market Research Contact information at EDIRC.
Bibliographic data for series maintained by Sonal Shukla ().

Page updated 2019-11-06
Handle: RePEc:kap:fmktpm:v:33:y:2019:i:1:d:10.1007_s11408-018-0323-6