Is VIX an investor fear gauge in BRIC equity markets?

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.

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Year of publication:	2012
Authors:	Sarwar, Ghulam
Published in:	Journal of Multinational Financial Management. - Elsevier, ISSN 1042-444X. - Vol. 22.2012, 3, p. 55-65
Publisher:	Elsevier
Subject:	VIX \| Fear gauge \| BRIC \| Volatility

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Type of publication:	Article
Classification:	G15 - International Financial Markets ; G11 - Portfolio Choice
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010576579