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Effects of the US stock market return and volatility on the VKOSPI

Han, Heejoon; Kutan, Ali M.; Ryu, Doojin - In: Economics: The Open-Access, Open-Assessment E-Journal 9 (2015) 2015-35, pp. 1-34

the US market (i.e., the S&P 500 spot return and the VIX from the S&P 500 options) play a key role in predicting the level …

Persistent link: https://www.econbiz.de/10011379844

Stock returns and implied volatility: A new VAR approach

Lee, Bong Soo; Ryu, Doojin - In: Economics: The Open-Access, Open-Assessment E-Journal 7 (2013) 2013-3, pp. 1-20

) identification framework. By analyzing two model-free impliedvolatility indices - the well-established VIX (in the United States) and … different from those of the VIX. This finding can be attributed to the unique characteristics of the KOSPI200 options market …

Persistent link: https://www.econbiz.de/10010311635

On the relation between the crude oil market and pandemic Covid-19

Shaikh, Imlak - In: European Journal of Management and Business Economics … 30 (2021) 3, pp. 331-356

Purpose - The crude oil market has experienced an unprecedented overreaction in the first half of the pandemic year 2020. This study aims to show the performance of the global crude oil market amid Covid-19 and spillover relations with other asset classes. Design/methodology/approach - The...

Persistent link: https://www.econbiz.de/10013193261

Risk and policy uncertainty on stock-bond return correlations: Evidence from the US markets

Chiang, Thomas C. - In: Risks 8 (2020) 2, pp. 1-16

This paper investigates dynamic correlations of stock-bond returns for different stock indices and bond maturities. Evidence in the US shows that stock-bond relations are time-varying and display a negative trend. The stock-bond correlations are negatively correlated with implied volatilities in...

Persistent link: https://www.econbiz.de/10013200591

Determining financial uncertainty through the dynamics of Sukuk bonds and prices in emerging market indices

Sial, Muhammad Safdar; Cherian, Jacob; Meero, … - In: Risks 10 (2022) 3, pp. 1-13

reflected by the global volatility index (VIX) on the Sukuk index returns, and even this impact is negative for (VXEEM). The …

Persistent link: https://www.econbiz.de/10013200951

All that glitters is not gold: The rise of gaming in the COVID-19 pandemic

López-Cabarcos, M. Ángeles; Ribeiro Soriano, Domingo; … - In: Journal of Innovation & Knowledge (JIK) 5 (2020) 4, pp. 289-296

between financial (VIX, S&P GSCI Gold Index) and social (worldwide daily variation in total deaths from COVID-19 and worldwide …

Persistent link: https://www.econbiz.de/10013266779

Dynamic spillovers between gulf cooperation council's stocks, VIX, oil and gold volatility indices

Alqahtani, Abdullah; Chevallier, Julien - In: Journal of Risk and Financial Management 13 (2020) 4, pp. 1-17

oil (OVX), gold (GVZ), and S&P500 (VIX) markets (considered in log-difference). We use weekly data and resort to DCC … Bahrain correlates weakly to shocks in oil, gold, and VIX. The most striking results feature extra sensitivity of Saudi Arabia …

Persistent link: https://www.econbiz.de/10012611298

Quantile risk-return trade-off

Aslanidis, Nektarios; Christiansen, Charlotte; Savva, … - In: Journal of Risk and Financial Management 14 (2021) 6, pp. 1-14

We investigate the risk-return trade-off on the US and European stock markets. We investigate the non-linear risk-return trade-off with a special eye to the tails of the stock returns using quantile regressions. We first consider the US stock market portfolio. We find that the risk-return...

Persistent link: https://www.econbiz.de/10012611806

Do sentiment indices impact the premium of prominent pricing factors?

Sadhwani, Ranjeeta; Rajput, Suresh Kumar Oad; Habibah, Ume - In: Cogent Economics & Finance 6 (2018) 1, pp. 1-50

pricing factors in comparison to the Volatility Index (VIX). The results show that compared to VIX, GSVIs bring less … indices (Market Rally and Bull Market), and also have a significant correlation with VIX representing downside risk …

Persistent link: https://www.econbiz.de/10012657476

Stylized patterns in implied volatility indices and stock market returns: A cross country analysis across developed and emerging markets

Pathak, Jalaj; Deb, Soumya Guha - In: Cogent Economics & Finance 8 (2020) 1, pp. 1-24

(VIX) and stock market returns, with data from 15 countries representing both developed and emerging economies.1 We also …. Design/Methodology/Approach: We use daily time series data between January 2013 to July 2019, on VIX and stock index from … these countries and employ regression and causality models to explore the nature of the relationship between VIX and stock …

Persistent link: https://www.econbiz.de/10012657567