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A grey-based correlation with multi-scale analysis: S&P 500 VIX and individual VIXs of large US company stocks

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  • Wang, Zhenkun
  • Bouri, Elie
  • Ferreira, Paulo
  • Shahzad, Syed Jawad Hussain
  • Ferrer, Román

Abstract

We provide first evidence of the multiscale comovement of correlations between the S&P 500 VIX and the VIXs of Amazon, Apple, Google, Goldman Sachs, and IBM. Using grey correlation and wavelet analysis on daily data (July 2011 - September 2021), the dynamics of grey-based correlations vary across scales and depend on the fluctuation intensity of the medium time–frequency domains. The lead–lag relationships of VIX correlations are inconclusive about the dominant periodicity, although some evidence of weekly and monthly periodicity emerges. The pandemic affects the dynamics and lead-lag relationships. Such indications are useful for trading strategies and market-timing decisions.

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  • Wang, Zhenkun & Bouri, Elie & Ferreira, Paulo & Shahzad, Syed Jawad Hussain & Ferrer, Román, 2022. "A grey-based correlation with multi-scale analysis: S&P 500 VIX and individual VIXs of large US company stocks," Finance Research Letters, Elsevier, vol. 48(C).
    • Handle: RePEc:eee:finlet:v:48:y:2022:i:c:s154461232200157x
    DOI: 10.1016/j.frl.2022.102872
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    References listed on IDEAS

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    2. Kristoufek, Ladislav & Bouri, Elie, 2023. "Exploring sources of statistical arbitrage opportunities among Bitcoin exchanges," Finance Research Letters, Elsevier, vol. 51(C).

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