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The Lead-Lag Relationship between Volatility Index Futures and Spot in the Korean Stock Market

Qin, Rong-Yuan - 2017

This empirical study examines the short-run lead-lag relationship between the VKOSPI index futures and its underlying spot index and KOSPI index using daily data from September 17, 2014 to May 2017. We used the unit root test, Johansen-Juselius cointegration test, Granger causality analysis,...

Persistent link: https://www.econbiz.de/10012944228

The seasonal anomalies in the investors' fear gauge index

Shaikh, Imlak - In: Research bulletin / The Institute of Cost Accountants … 42 (2016) 1, pp. 247-254

Persistent link: https://www.econbiz.de/10011622307

The investor fear gauge index (VIX) : a case of Asia-Pacific securities market

Shaikh, Imlak; Tripathy, Arun K. - In: The empirical economics letters : a monthly … 16 (2017) 6, pp. 567-575

Persistent link: https://www.econbiz.de/10011802176

Is implied volatility index (VIX) a forward-looking indicator of stock market movements in India?

Acharya, Amarendra; Seet, Subrat Kumar; Salvi, Prakash A. - 2022

Persistent link: https://www.econbiz.de/10013402152

The asymmetric contagion effect between stock market and cryptocurrency market

Wang, Hao; Wang, Xiaoqian; Yin, Siyuan; Ji, Hao - In: Finance research letters 46 (2022) 1, pp. 1-12

Persistent link: https://www.econbiz.de/10013339248

Directional predictability and volatility spillover effect from stock market indexes to Bitcoin : evidence from developed and emerging markets

Omri, Imen - In: The journal of risk finance : JRF 24 (2023) 2, pp. 226-243

Persistent link: https://www.econbiz.de/10014232428

Markov regime-switching autoregressive model of stock market returns in Nigeria

Adejumo, Oluwasegun A.; Albert, Seno; Asemota, Omorogbe J. - In: CBN journal of applied statistics 11 (2020) 2, pp. 65-83

studyanalyzes the stock market volatility in three distinct regimes (accumulation or distri-bution - regime 1; big-move - regime 2 …

Persistent link: https://www.econbiz.de/10012513279

Modeling carbon spot and futures price returns with GARCH and Markov switching GARCH models : evidence from the first commitment period (2008-2012)

Zeitlberger, Alexander C. M.; Brauneis, Alexander - In: Central European journal of operations research : CEJOR … 24 (2016) 1, pp. 149-176

Persistent link: https://www.econbiz.de/10011665786

Causality and volatility spillovers of banks' stock price returns on BSE Bankex returns

Subburayan, Baranidharan - In: The journal of corporate accounting & finance 35 (2024) 1, pp. 59-75

Persistent link: https://www.econbiz.de/10014472167

Forecasting stock market volatility using implied volatility : evidence from extended realized EGARCH-MIDAS model

Wu, Xinyu; Wang, Xiaona; Wang, Haiyun - In: Applied economics letters 28 (2021) 11, pp. 915-920

Persistent link: https://www.econbiz.de/10012589699

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