Quantile connectedness between VIX and global stock markets
Küçük Resim Yok
Tarih
2024
Dergi Başlığı
Dergi ISSN
Cilt Başlığı
Yayıncı
Borsa Istanbul Anonim Sirketi
Erişim Hakkı
info:eu-repo/semantics/openAccess
Özet
This paper investigates the dynamics of the interactions between international stock returns and perceived volatility measured by the VIX index using quantile-on-quantile spillover analysis. Using weekly data from 1995 to 2023 and a comprehensive data set from developed and emerging stock markets, we investigate the relationship between the VIX and stock market returns accounting for time-varying relationships and cross-quantile relationships. Empirical results show that the indirectly related quantile total spillovers between the VIX and equity returns surpasses the directly related quantile total spillovers. High returns occur at low VIX levels and low returns at high VIX levels. The highest total spillovers across all stock markets occur at the highest quantile level for the VIX and the lowest quantile level for stock returns, for both developed and emerging markets. High connectedness between the VIX and stock market returns, particularly at extreme quantiles, suggests that investors should look at other investment vehicles for diversification during uncertain times. © 2024 Borsa İstanbul Anonim Şirketi
Açıklama
Anahtar Kelimeler
International financial markets, Return spillovers, Stock returns, Uncertainty, VIX index
Kaynak
Borsa Istanbul Review
WoS Q Değeri
Scopus Q Değeri
Cilt
24
