Quantile connectedness between VIX and global stock markets

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dc.contributor.authorKirci Altinkeski, Buket
dc.contributor.authorDibooglu, Sel
dc.contributor.authorCevik, Emrah Ismail
dc.contributor.authorKilic, Yunus
dc.contributor.authorBugan, Mehmet Fatih
dc.date.accessioned2024-10-29T17:43:27Z
dc.date.available2024-10-29T17:43:27Z
dc.date.issued2024
dc.departmentTekirdağ Namık Kemal Üniversitesien_US
dc.description.abstractThis 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 Şirketien_US
dc.identifier.doi10.1016/j.bir.2024.07.006
dc.identifier.endpage79en_US
dc.identifier.issn2214-8450
dc.identifier.scopus2-s2.0-85199100033en_US
dc.identifier.startpage71en_US
dc.identifier.urihttps://doi.org/10.1016/j.bir.2024.07.006
dc.identifier.urihttps://hdl.handle.net/20.500.11776/12384
dc.identifier.volume24en_US
dc.identifier.wosWOS:001330545700007
dc.indekslendigikaynakScopusen_US
dc.language.isoenen_US
dc.publisherBorsa Istanbul Anonim Sirketien_US
dc.relation.ispartofBorsa Istanbul Reviewen_US
dc.relation.publicationcategoryMakale - Uluslararası Hakemli Dergi - Kurum Öğretim Elemanıen_US
dc.rightsinfo:eu-repo/semantics/openAccessen_US
dc.subjectInternational financial marketsen_US
dc.subjectReturn spilloversen_US
dc.subjectStock returnsen_US
dc.subjectUncertaintyen_US
dc.subjectVIX indexen_US
dc.titleQuantile connectedness between VIX and global stock marketsen_US
dc.typeReview Articleen_US

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