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Does the US Fear Gauge Impact on the Investor Fear Gauge in the Emerging Markets?

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  • Yen-Hsien Lee
Abstract
This article investigates the investor fear gauge linkages among the American and emerging markets, such as, India (India volatility index (IVIX)), South Korea (Volatility Korea Composite Stock Price Index (VKSOPI)), South Africa (South African Volatility Index (SAVI)) and Russian (Russian Volatility Index (RTSVX)). This article further captures the diffusion and jump relationships between the volatility indices (VIXs) in US and emerging markets by applying the correlated bivariate Poisson (CBP) jump model. The empirical result found that the change in the VIX in the US has a substantial impact over the change in the VIXs of emerging markets. The changes in the VIXs exhibit individual jump behaviour. Finally, this article found the time-varying joint jump intensity between the VIXs in US and emerging markets. JEL Classification: C32, C5

Suggested Citation

  • Yen-Hsien Lee, 2015. "Does the US Fear Gauge Impact on the Investor Fear Gauge in the Emerging Markets?," Journal of Emerging Market Finance, Institute for Financial Management and Research, vol. 14(3), pages 197-209, December.
    • Handle: RePEc:sae:emffin:v:14:y:2015:i:3:p:197-209
    DOI: 10.1177/0972652715601909
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    References listed on IDEAS

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    1. Dotsis, George & Psychoyios, Dimitris & Skiadopoulos, George, 2007. "An empirical comparison of continuous-time models of implied volatility indices," Journal of Banking & Finance, Elsevier, vol. 31(12), pages 3584-3603, December.
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    4. Wing H. Chan, 2003. "A correlated bivariate Poisson jump model for foreign exchange," Empirical Economics, Springer, vol. 28(4), pages 669-685, November.
    5. Granger, C W J, 1969. "Investigating Causal Relations by Econometric Models and Cross-Spectral Methods," Econometrica, Econometric Society, vol. 37(3), pages 424-438, July.
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    More about this item

    Keywords

    Emerging markets; volatility index; investor fear gauge; correlated bivariate Poisson process;
    All these keywords.

    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • C5 - Mathematical and Quantitative Methods - - Econometric Modeling

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