In this study we show that market uncertainty [measured by the Chicago Board Options Exchange Market Volatility Index … (VIX)] exerts a large market-wide impact on liquidity, which gives rise to co-movements in individual asset liquidity. The … effect of VIX on stock liquidity is greater than the combined effects of all other common determinants of stock liquidity. We …

, measured by India VIX on the price volatility of the five base metals. The findings of the study suggest that there is presence … 2013. To assess the impact of the recent Global Financial Crisis on trading of base metals, the price volatility of the … base metals has been examined using GARCH models. The paper also studies the effect of implied volatility of equity market …

Chicago Board Options Exchange (CBOE) implied (or expected) volatility index (VIX). Design/methodology/approach – A primary …Purpose – The purpose of this paper is to propose a new method for estimating continuous-time stochastic volatility (SV …

This study examines the intertemporal relationships between CBOE market volatility index (VIX) and stock market returns … in Brazil, Russia, India, and China (BRIC), and between VIX and U.S. stock market returns, to uncover if VIX serves as an … investor fear gauge in BRIC and U.S. markets. We conduct the VIX-returns analysis for the 1993–2007 period. …

intraday volatility measurements and implied ones obtained from options market (VIX). For that we propose the use of intraday … information to estimate volatility for the cases where the stock markets do not have an associated option market. …

the stock market volatility is compared in both the Anglophone world and the Sinophone world. I find that the stock market … volatility and the number of publicly available global news stories are strongly linked to each other in both languages …. Contemporaneous correlations between news and volatility are positive and highly significant, and regressions tell us that the …

The interaction of volatility between the financial markets and gold market is analyzed. The volatility of the price of … gold in euros, the price of gold in dollars, the U.S. industrial production índex, the S&p500 index, the VIX índex and the … IPI→S&P500; S&P500→VIX; VIX→PSI20. The analysis of the variance decomposition indicates the prevalence of the explanation …