Quantile connectedness between VIX and global stock markets

IF 6.3 2区 经济学 Q1 BUSINESS, FINANCE
Buket Kirci Altinkeski , Sel Dibooglu , Emrah Ismail Cevik , Yunus Kilic , Mehmet Fatih Bugan
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引用次数: 0

Abstract

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.
VIX 与全球股市之间的定量联系
本文通过量纲对量纲溢出分析,研究了国际股票收益率与以 VIX 指数衡量的可感知波动性之间的互动动态。我们使用 1995 年至 2023 年的每周数据以及发达和新兴股票市场的综合数据集,研究了 VIX 指数与股票市场收益率之间的关系,并考虑了时变关系和跨量子关系。实证结果表明,VIX 与股票收益率之间间接相关的量级总溢出效应超过了直接相关的量级总溢出效应。VIX 低水平时回报率高,VIX 高水平时回报率低。在所有股票市场中,无论是发达市场还是新兴市场,最高的总溢出效应出现在 VIX 的最高量级水平和股票回报率的最低量级水平上。VIX 与股票市场回报率之间的高度关联性,尤其是在极端量化水平上,表明投资者在不确定时期应寻求其他投资工具进行分散投资。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
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来源期刊
CiteScore
7.60
自引率
3.80%
发文量
130
审稿时长
26 days
期刊介绍: Peer Review under the responsibility of Borsa İstanbul Anonim Sirketi. Borsa İstanbul Review provides a scholarly platform for empirical financial studies including but not limited to financial markets and institutions, financial economics, investor behavior, financial centers and market structures, corporate finance, recent economic and financial trends. Micro and macro data applications and comparative studies are welcome. Country coverage includes advanced, emerging and developing economies. In particular, we would like to publish empirical papers with significant policy implications and encourage submissions in the following areas: Research Topics: • Investments and Portfolio Management • Behavioral Finance • Financial Markets and Institutions • Market Microstructure • Islamic Finance • Financial Risk Management • Valuation • Capital Markets Governance • Financial Regulations
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