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Asymmetric linkages among the fear index and emerging market volatility indices

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Cited by:

  1. Uddin, Gazi Salah & Yahya, Muhammad & Goswami, Gour Gobinda & Lucey, Brian & Ahmed, Ali, 2022. "Stock market contagion during the COVID-19 pandemic in emerging economies," International Review of Economics & Finance, Elsevier, vol. 79(C), pages 302-309.
  2. Chen, Rongda & Wu, Ling & Jin, Chenglu & Wang, Shengnan, 2021. "Unintended investor sentiment on bank financial products: Evidence from China," Emerging Markets Review, Elsevier, vol. 49(C).
  3. Giovanni Campisi & Silvia Muzzioli, 2021. "Designing volatility indices for Austria, Finland and Spain," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 35(3), pages 369-455, September.
  4. Boateng, Ebenezer & Adam, Anokye M. & Junior, Peterson Owusu, 2021. "Modelling the heterogeneous relationship between the crude oil implied volatility index and African stocks in the coronavirus pandemic," Resources Policy, Elsevier, vol. 74(C).
  5. Wu, Nan & Wen, Fenghua & Gong, Xu, 2022. "Marionettes behind co-movement of commodity prices: Roles of speculative and hedging activities," Energy Economics, Elsevier, vol. 115(C).
  6. Sinda Hadhri, 2021. "Fear of the Coronavirus and Cryptocurrencies' returns," Economics Bulletin, AccessEcon, vol. 41(3), pages 2041-2054.
  7. Zhu, Xuehong & Chen, Ying & Chen, Jinyu, 2021. "Effects of non-ferrous metal prices and uncertainty on industry stock market under different market conditions," Resources Policy, Elsevier, vol. 73(C).
  8. Xiao, Jihong & Wang, Yudong, 2022. "Macroeconomic uncertainty, speculation, and energy futures returns: Evidence from a quantile regression," Energy, Elsevier, vol. 241(C).
  9. Emrah Koçak & Umit Bulut & Angeliki N. Menegaki, 2022. "The resilience of green firms in the twirl of COVID‐19: Evidence from S&P500 Carbon Efficiency Index with a Fourier approach," Business Strategy and the Environment, Wiley Blackwell, vol. 31(1), pages 32-45, January.
  10. Chun, Dohyun & Cho, Hoon & Ryu, Doojin, 2019. "Forecasting the KOSPI200 spot volatility using various volatility measures," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 514(C), pages 156-166.
  11. Ritika & Himanshu & Nawal Kishor, 2023. "Modeling of factors affecting investment behavior during the pandemic: a grey-DEMATEL approach," Journal of Financial Services Marketing, Palgrave Macmillan, vol. 28(2), pages 222-235, June.
  12. Fassas, Athanasios P. & Siriopoulos, Costas, 2021. "Implied volatility indices – A review," The Quarterly Review of Economics and Finance, Elsevier, vol. 79(C), pages 303-329.
  13. Liang, Chin Chia & Troy, Carol & Rouyer, Ellen, 2020. "U.S. uncertainty and Asian stock prices: Evidence from the asymmetric NARDL model," The North American Journal of Economics and Finance, Elsevier, vol. 51(C).
  14. Ebenezer Boateng & Emmanuel Asafo-Adjei & John Gartchie Gatsi & ªtefan Cristian Gherghina & Liliana Nicoleta Simionescu, 2022. "Multifrequency-based non-linear approach to analyzing implied volatility transmission across global financial markets," Oeconomia Copernicana, Institute of Economic Research, vol. 13(3), pages 699-743, September.
  15. Bartosz Łamasz & Natalia Iwaszczuk, 2020. "The Impact of Implied Volatility Fluctuations on Vertical Spread Option Strategies: The Case of WTI Crude Oil Market," Energies, MDPI, vol. 13(20), pages 1-23, October.
  16. Bouri, Elie & Lucey, Brian & Roubaud, David, 2020. "Dynamics and determinants of spillovers across the option-implied volatilities of US equities," The Quarterly Review of Economics and Finance, Elsevier, vol. 75(C), pages 257-264.
  17. Mohammad Arashi & Mohammad Mahdi Rounaghi, 2022. "Analysis of market efficiency and fractal feature of NASDAQ stock exchange: Time series modeling and forecasting of stock index using ARMA-GARCH model," Future Business Journal, Springer, vol. 8(1), pages 1-12, December.
  18. de Oliveira, Erick Meira & Cunha, Felipe Arias Fogliano de Souza & Palazzi, Rafael Baptista & Klotzle, Marcelo Cabus & Maçaira, Paula Medina, 2020. "On the effects of uncertainty measures on sustainability indices: An empirical investigation in a nonlinear framework," International Review of Financial Analysis, Elsevier, vol. 70(C).
  19. Xiao, Jihong & Hu, Chunyan & Ouyang, Guangda & Wen, Fenghua, 2019. "Impacts of oil implied volatility shocks on stock implied volatility in China: Empirical evidence from a quantile regression approach," Energy Economics, Elsevier, vol. 80(C), pages 297-309.
  20. Choi, Sun-Yong, 2022. "Volatility spillovers among Northeast Asia and the US: Evidence from the global financial crisis and the COVID-19 pandemic," Economic Analysis and Policy, Elsevier, vol. 73(C), pages 179-193.
  21. Tian, Meiyu & Li, Wanyang & Wen, Fenghua, 2021. "The dynamic impact of oil price shocks on the stock market and the USD/RMB exchange rate: Evidence from implied volatility indices," The North American Journal of Economics and Finance, Elsevier, vol. 55(C).
  22. Ghazani, Majid Mirzaee & Khosravi, Reza & Caporin, Massimiliano, 2023. "Analyzing interconnection among selected commodities in the 2008 global financial crisis and the COVID-19 pandemic," Resources Policy, Elsevier, vol. 80(C).
  23. Xiao, Jihong & Wen, Fenghua & Zhao, Yupei & Wang, Xiong, 2021. "The role of US implied volatility index in forecasting Chinese stock market volatility: Evidence from HAR models," International Review of Economics & Finance, Elsevier, vol. 74(C), pages 311-333.
  24. Tissaoui, Kais & Zaghdoudi, Taha, 2021. "Dynamic connectedness between the U.S. financial market and Euro-Asian financial markets: Testing transmission of uncertainty through spatial regressions models," The Quarterly Review of Economics and Finance, Elsevier, vol. 81(C), pages 481-492.
  25. Lee, Hsiu-Chuan & Lee, Yun-Huan & Nguyen, Cuong, 2023. "Tail comovements of implied volatility indices and global index futures returns predictability," Pacific-Basin Finance Journal, Elsevier, vol. 80(C).
  26. Debojyoti Das & Anupam Dutta & Rabin K. Jana & Indranil Ghosh, 2023. "The asymmetric impact of oil price uncertainty on emerging market financial stress: A quantile regression approach," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 28(4), pages 4299-4323, October.
  27. Bernardina Algieri, 2021. "Fast & furious: Do psychological and legal factors affect commodity price volatility?," The World Economy, Wiley Blackwell, vol. 44(4), pages 980-1017, April.
  28. Xiao, Jihong & Wang, Yudong, 2021. "Investor attention and oil market volatility: Does economic policy uncertainty matter?," Energy Economics, Elsevier, vol. 97(C).
  29. Faisal Alqahtani & Nader Trabelsi & Nahla Samargandi & Syed Jawad Hussain Shahzad, 2020. "Tail Dependence and Risk Spillover from the US to GCC Banking Sectors," Mathematics, MDPI, vol. 8(11), pages 1-18, November.
  30. Long, Wen & Zhao, Manyi & Tang, Yeran, 2021. "Can the Chinese volatility index reflect investor sentiment?," International Review of Financial Analysis, Elsevier, vol. 73(C).
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