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The Time Decaying Synchronization between the Volatility Index and KOSPI Return

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  • Seoungpil Ahn

Abstract

This study examines the spillover effect of the volatility index on the stock return of the Korean stock market. Empirical analysis utilizes the US volatility index (VIX) in the return format and the KOSPI daily return data for the twenty years from January 2002 to December 2021. Using the time-series models, I find that the VIX is negatively associated with the KOSPI stock return. Further, the result shows that the influence of the VIX becomes weakened in the later period after the financial crisis. Nevertheless, the negative relation between the VIX return and the KOSPI return remains persistent, suggesting that the VIX serves as a preceding indicator for the Korean stock market.

Suggested Citation

  • Seoungpil Ahn, 2025. "The Time Decaying Synchronization between the Volatility Index and KOSPI Return," Business and Economic Research, Macrothink Institute, vol. 15(2), pages 1-11, December.
    • Handle: RePEc:mth:ber888:v:15:y:2025:i:2:p:1-11
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    References listed on IDEAS

    as
    1. Mills,Terence C. & Markellos,Raphael N., 2008. "The Econometric Modelling of Financial Time Series," Cambridge Books, Cambridge University Press, number 9780521710091, January.
    2. Bekiros, Stelios D., 2014. "Contagion, decoupling and the spillover effects of the US financial crisis: Evidence from the BRIC markets," International Review of Financial Analysis, Elsevier, vol. 33(C), pages 58-69.
    3. Matthew Yiu & Wai-Yip Alex Ho & Daniel Choi, 2010. "Dynamic correlation analysis of financial contagion in Asian markets in global financial turmoil," Applied Financial Economics, Taylor & Francis Journals, vol. 20(4), pages 345-354.
    4. Mills,Terence C. & Markellos,Raphael N., 2008. "The Econometric Modelling of Financial Time Series," Cambridge Books, Cambridge University Press, number 9780521883818.
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    JEL classification:

    • R00 - Urban, Rural, Regional, Real Estate, and Transportation Economics - - General - - - General
    • Z0 - Other Special Topics - - General

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