Grima, Simon; Özdemir, Letife; Özen, Ercan; … - In: International Journal of Financial Studies : open … 9 (2021) 2, pp. 1-19
major stock markets. We then subjected this data to the Johansen co-integration test and the fully modified least …-squares (FMOLS) method. The results indicated that there was co-integration between the VIX and the COVID-19 pandemic and that there … was co-integration between the VIX index and major indexes, except for the CAC 40 and MIB. Moreover, the results showed …