The volatility spillover effects among risk appetite indexes: insight from the VIX and the rise
Saffet Akdag (),
Ömer İskenderoglu () and
Andrew Alola
Additional contact information
Saffet Akdag: Tarsus University
Ömer İskenderoglu: Nigde Ömer Halisdemir University
Letters in Spatial and Resource Sciences, 2020, vol. 13, issue 1, No 4, 49-65
Abstract:
Abstract This study aims to test the volatility spillover effects among the global risk appetite, the VIX (also known as the fear index) and the RISE index (known as the indicator of investor risk appetite index in Turkey). A temporary or permanent causality Granger and Breitung Candelon (Breitung and Candelon in J Econom 132(2):363–378, 2006) frequency domain causality analyses were performed by using the weekly dataset spanning from January 2010 to December 2018. The results obtained from the study reveals a unilateral causal relationship running from the VIX toward the RISE index. This causality inference is also observed separately in the short-, medium- and the long-run. Consequently, the investigation found that there is a permanent causal relationship running from the VIX toward the RISE index. These results also indicate the existence of the volatility spillover effect among the risk appetite indexes. Consequently, the current study offers significant policy directives from the side of the government and other stakeholders especially that are targeted at mitigating fear factors in the economy.
Keywords: Risk appetite; Volatility spillover effects; Frequency domain causality (search for similar items in EconPapers)
JEL-codes: C22 C61 D81 (search for similar items in EconPapers)
Date: 2020
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (5)
Downloads: (external link)
http://link.springer.com/10.1007/s12076-020-00244-3 Abstract (text/html)
Access to the full text of the articles in this series is restricted.
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: https://EconPapers.repec.org/RePEc:spr:lsprsc:v:13:y:2020:i:1:d:10.1007_s12076-020-00244-3
Ordering information: This journal article can be ordered from
http://www.springer.com/economics/journal/12076
DOI: 10.1007/s12076-020-00244-3
Access Statistics for this article
Letters in Spatial and Resource Sciences is currently edited by Henk Folmer and Amitrajeet A. Batabyal
More articles in Letters in Spatial and Resource Sciences from Springer
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().