Results 11 to 20 of about 3,614,788 (171)
İstanbul İktisat Dergisi, 2022 This study examines the effects of volatilities in oil price, gold price and the VIX index on the Turkish BIST 100 stock index during the pandemic period. For this purpose, an econometric analysis has been carried out by using the oil, gold and VIX index
Kadir Tuna
doaj +1 more source
Modeling S&P500 returns with GARCH models
Latin American Journal of Central Banking, 2023 This paper provides several estimates of the GARCH models’ parameters for the S&P500 index, based on returns and CBOE VIX. Using a daily sample collected from 2007 to 2022, we can conclude that adding the VIX information improves the estimates of the ...
Rodrigo Alfaro, Alejandra Inzunza
doaj +1 more source
Role of the Global Volatility Indices in Predicting the Volatility Index of the Indian Economy
Risks, 2022 Movements in the volatility index of the Indian economy are influenced by global volatility indices (fear index). This study evaluates the influence of various global implied volatility indices in forecasting the day-to-day binary movements in the ...
Akhilesh Prasad, Priti Bakhshi
doaj +1 more source
Discrete Dynamics in Nature and Society, 2021 This paper investigates the cross-correlations between the foreign flows in A-share market and the uncertainties of market, economy, and policy in home markets, namely, the VIX index and the US EPU index. By employing the cross-correlation statistics and
Tao Bing, Fei Hu, Hongkun Ma
doaj +1 more source
Forecasting the direction of daily changes in the India VIX index using deep learning
IIMB Management Review, 2023 The VIX index is an indicator of the market's perception of risk, and an accurate forecast of the movements in VIX can be very useful for investment risk management.
Akhilesh Prasad +2 more
doaj +1 more source
The Relevance of Cboe Volatility Index to Stock Markets in Emerging Economies
Organizations and Markets in Emerging Economies, 2015 We examine the capability of CBOE S&P500 Volatility index (VIX) to determine returns of emerging stock market indices as compared to local stock markets volatility indicators.
Tamara Mariničevaitė +1 more
doaj +1 more source
MARKETWIDE LIQUIDITY AND OPTIONS MARKET
Applied Finance Letters, 2022 In this paper, we study the relationship between marketwide liquidity and options market. Using the Chicago Board Options Exchange (CBOE) Volatility Index, VIX as a measure of overall value of the S&P 500 (SPX) options, and the CBOE SKEW Index as a ...
Jin Zhang, Hai Lin
doaj +1 more source
Intelligent Systems with Applications, 2021 The study investigates the impact of uncertainties on energy pricing during the COVID-19 pandemic using five uncertainty measures that include the COVID-Induced Uncertainty (CIU), Economic Policy Uncertainty (EPU), Global Fear Index (GFI); Volatility ...
Olusanya E. Olubusoye +4 more
doaj +1 more source
Time-frequency domain analysis of investor fear and expectations in stock markets of BRIC economies
Heliyon, 2021 The purpose of this study is to provide insight into the lead-lag relationships between the BRIC stock index and its constituents. In addition, we assess the comovements between the US volatility index (VIX) as a measure of investor uncertainty and fear ...
Peterson Owusu Junior +5 more
doaj +1 more source
Interdependence between Islamic capital market and money market: Evidence from Indonesia
Borsa Istanbul Review, 2014 This study investigate VAR Toda–Yamamoto causality test between macroeconomic variables and Islamic financial market. The purpose of this study is to analyze the information content of Islamic capital market and money market return with respect to ...
Imam Wahyudi, Gandhi Anwar Sani
doaj +1 more source