Results 31 to 40 of about 2,929 (231)
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
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
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
High-Frequency Causality in the VIX Index and Its Derivatives: Empirical Evidence
SSRN Electronic Journal, 2022 Currently working with the co-author on a newer version. Significant re-writing of the paper.
Farokhnia, Kia, Osterrieder, Joerg
openaire +3 more sources
The VIX Volatility Index - A Very Thorough Look at It
SSRN Electronic Journal, 2019 The CBOE Volatility Index, known by its ticker symbol VIX, is a popular measureof the stock market’s expectation of volatility implied by S&P 500 index options,calculated and published by the Chicago Board Options Exchange (CBOE). It iscolloquially referred to as the fear index or the fear gauge.
Osterrieder, Jörg +2 more
openaire +2 more sources
Risk Spillovers in Oil-Related CDS, Stock and Credit Markets [PDF]
This paper examines risk transmission and migration among six US measures of credit and market risk during the full period 2004-2011 period and the 2009-2011 recovery subperiod, with a focus on four sectors related to the highly volatile oil price. There
Michael McAleer +3 more
core +6 more sources
, 2022 The monthly data of the VIX index, S&P500 index, and Nasdaq Composite indexTHIS DATASET IS ARCHIVED AT DANS/EASY, BUT NOT ACCESSIBLE HERE.
Huu Manh, N (via Mendeley Data)
core +1 more source
Emerging Markets Journal, 2022 This paper investigates the dynamic relationship between the stock market index and a set of macroeconomic variables in four emerging countries. The dependent variable measures monthly stock exchange points of respective markets from January 2010 to ...
Hülya Yılmaz, Bülent İlhan
doaj +1 more source
Portfolio Effects of VIX Futures Index
Quantitative Finance and Economics, 2017 This paper tests short-term and mid-term VIX indexes as a hedge and safe haven asset against U.S. stock risk from January 2006 through July 2016. GARCH dynamic conditional correlation analysis indicates that VIX indexes are an effective hedge due to the consistent inverse relationship between the VIX indexes and stocks.
Mitchell Ratner, Chih-Chieh (Jason) Chiu
openaire +2 more sources
Stock market return predictability: Google pessimistic sentiments versus fear gauge
Cogent Economics & Finance, 2017 This study aims at comparing Google Search Volume Indices (GSVIs—including market crash and bear market) and VIX (Investor Fear Gauge Index) in terms of explaining the S&P 500 returns. The VIX is found a more robust predictor of stock market returns than
Ume Habibah +2 more
doaj +1 more source