Research on Sustainable Development of the Stock Market Based on VIX Index

被引:12
作者
Ruan, Lei [1 ]
机构
[1] Northeast Normal Univ, Sch Business, Changchun 130117, Jilin, Peoples R China
关键词
VIX index; sustainable development; stock market; VOLATILITY SPILLOVERS; CAUSALITY; BRICS; CHINA; GOLD;
D O I
10.3390/su10114113
中图分类号
X [环境科学、安全科学];
学科分类号
08 ; 0830 ;
摘要
The frequent occurrence of financial crises has made the dynamic linkage between international financial markets an important research topic. In the past, scholars mostly studied the correlation between financial markets directly, however ignored the impact of exogenous financial variables on financial markets. The stock market is an important part of the financial market and plays an important role in the overall economy. Information asymmetry is common and has a certain degree of impact on investors' returns. However, many scholars believe that the problem of information asymmetry in China has seriously negatively impacted investors, forming an unsustainable state. At present, there are still many problems in the Chinese stock market, especially the stock market fraud, which brings great challenges to the sustainable development of the stock market. Based on the idea of the STCC model, it is assumed that the Copula parameter is affected by the exogenous variables and the time-varying dynamic Copula model-ST-VCopula model is established. Based on the model, the influence of market volatility (VIX index) on the stock market is explored and then the stock index data of several countries are empirically analyzed. The empirical results show that the VIX index has a significant impact on the linkage between stock markets. The VIX index is easy and more intuitive to obtain, providing another way for the dynamic linkage research between the market, which can provide investors with some guidance and advice when conducting financial activities such as diversification.
引用
收藏
页数:12
相关论文
共 31 条
[1]   Asymmetric connectedness on the US stock market: Bad and good volatility spillovers [J].
Barunik, Jozef ;
Kocenda, Evzen ;
Vacha, Lukas .
JOURNAL OF FINANCIAL MARKETS, 2016, 27 :55-78
[2]   Is gold a safe haven? International evidence [J].
Baur, Dirk G. ;
McDermott, Thomas K. .
JOURNAL OF BANKING & FINANCE, 2010, 34 (08) :1886-1898
[3]   Forecasting the volatility of the Dow Jones Islamic Stock Market Index: Long memory vs. regime switching [J].
Ben Nasr, Adnen ;
Lux, Thomas ;
Ajmi, Ahdi Noomen ;
Gupta, Rangan .
INTERNATIONAL REVIEW OF ECONOMICS & FINANCE, 2016, 45 :559-571
[4]   Uncovering frequency domain causality between gold and the markets of China and India: Evidence from implied volatility indices [J].
Bouri, Elie ;
Roubaud, David ;
Jammazi, Rania ;
Assaf, Ata .
FINANCE RESEARCH LETTERS, 2017, 23 :23-30
[5]   Cointegration and nonlinear causality amongst gold, oil, and the Indian stock market: Evidence from implied volatility indices [J].
Bouri, Elie ;
Jain, Anshul ;
Biswal, P. C. ;
Roubaud, David .
RESOURCES POLICY, 2017, 52 :201-206
[6]  
Chen M. W., 2016, Journal of Financial Risk Management, V5, P178, DOI [10.4236/jfrm.2016.53018, DOI 10.4236/JFRM.2016.53018]
[7]   Can Internet Search Queries Help to Predict Stock Market Volatility? [J].
Dimpfl, Thomas ;
Jank, Stephan .
EUROPEAN FINANCIAL MANAGEMENT, 2016, 22 (02) :171-192
[8]   Stock market volatility spillovers: Evidence for Latin America [J].
Gamba-Santamaria, Santiago ;
Eduardo Gomez-Gonzalez, Jose ;
Luis Hurtado-Guarin, Jorge ;
Fernando Melo-Velandia, Luis .
FINANCE RESEARCH LETTERS, 2017, 20 :207-216
[9]  
Gowdy J.M., 1994, INT J SOC ECON, V21, P43, DOI DOI 10.1108/03068299410065412
[10]   Dynamic network of implied volatility transmission among US equities, strategic commodities, and BRICS equities [J].
Ji, Qiang ;
Bouri, Elie ;
Roubaud, David .
INTERNATIONAL REVIEW OF FINANCIAL ANALYSIS, 2018, 57 :1-12