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Is VIX an investor fear gauge in BRIC equity markets?

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  • Sarwar, Ghulam
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    Abstract

    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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    File URL: http://www.sciencedirect.com/science/article/pii/S1042444X12000047
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    Bibliographic Info

    Article provided by Elsevier in its journal Journal of Multinational Financial Management.

    Volume (Year): 22 (2012)
    Issue (Month): 3 ()
    Pages: 55-65

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    Handle: RePEc:eee:mulfin:v:22:y:2012:i:3:p:55-65

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    Web page: http://www.elsevier.com/locate/mulfin

    Related research

    Keywords: VIX; Fear gauge; BRIC; Volatility;

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    Cited by:
    1. repec:bor:wpaper:1308 is not listed on IDEAS
    2. Evren Arik & Elif Mutlu, 2014. "Global Risk Aversion, the Benchmark Index and the Foreign Investors: The case of Borsa Istanbul," Working Paper 08, Research Department of Borsa Istanbul.

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