This study examines the reaction of four major equity markets of the world to the US equity market fear index, i.e., the Chicago Board of Trade Volatility Index (VIX). The VIX is designed to perform as a leading indicator of the volatility in equity markets. Our paper examines the daily data for...

To establish stock-versus-flow orientations of a commodity, the mediating role of inventories in price formation is considered. This framework is tested by examining responses of COMEX gold, silver, and copper to macroeconomic news releases. Standard responsiveness-tests, which ignore the role...

Numerous empirical studies have shown that certain exponential Levy models are able to fit the empirical distribution of daily financial returns quite well. By contrast, very few papers have considered intraday data in spite of their growing importance. In this paper, we fill this gap by...