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Is VIX an investor fear gauge in BRIC equity markets?

  • Sarwar, Ghulam
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    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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    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
    Contact details of provider: Web page: http://www.elsevier.com/locate/mulfin

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