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Volatility Spillover Effect from Volatility Implied Index to Emerging Markets

Author

Listed:
  • Turhan Korkmaz
  • Emrah Ismail Çevik

Abstract

This study has investigated the effect of VIX, created as an implied volatility in the US, on 15 emerging stock markets with the application of GJR-GARCH model. According to the results obtained, the emerging stock markets have leverage effect in conditional variance and emerging bad news concludes that volatility further increases. The results of the analysis show that implied volatility index affect Argentina, Brazil, Mexico, Chili, Peru, Hungary, Poland, Turkey, Malaysia, Thailand and Indonesia stock markets through volatility increases

Suggested Citation

  • Turhan Korkmaz & Emrah Ismail Çevik, 2009. "Volatility Spillover Effect from Volatility Implied Index to Emerging Markets," Journal of BRSA Banking and Financial Markets, Banking Regulation and Supervision Agency, vol. 3(2), pages 87-106.
    • Handle: RePEc:bdd:journl:v:3:y:2009:i:2:p:87-106
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    Citations

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    Cited by:

    1. Chen, Chun-Da & Chiang, Shu-Mei & Huang, Tze-Chin, 2020. "The contagion effects of volatility indices across the U.S. and Europe," The North American Journal of Economics and Finance, Elsevier, vol. 54(C).
    2. İskenderoglu Ömer & Akdag Saffet, 2020. "Comparison of the Effect of Vix Fear Index on Stock Exchange Indices of Developed and Developing Countries: the G20 Case," South East European Journal of Economics and Business, Sciendo, vol. 15(1), pages 105-121, June.
    3. Jyothi Chittineni,, 2017. "Regime switching behavior of Indian VIX and its time dependent correlation with select developed economies," Business and Economic Horizons (BEH), Prague Development Center, vol. 13(5), pages 666-675, December.

    More about this item

    Keywords

    Implied Volatility; Spillover Effect; GJR-GARCH Model; Emerging Markets;
    All these keywords.

    JEL classification:

    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation
    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes

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