Co-movements between VIX and Emerging CDSs: A Wavelet Coherence Analysis

• 발행기관: 한국자료분석학회
• 저자명: Sang Hoon Kang
• 간행물 정보: 『Journal of The Korean Data Analysis Society (JKDAS)』Vol.20 No.6, 2771~2779쪽, 전체 9쪽
• 주제분류: 자연과학 > 통계학
• 파일형태: PDF
• 발행일자: 2018.12.31

영문 초록

The recent financial crises cause the co-movement and transmit the risk across different markets and assets. It is well known that market fear affects the quality of credit in the financial markets. In this context, this study examines the co-movement between the volatility index (VIX) of the Chicago Board Options Exchange (CBOE), or VIX, and six emerging countries’ credit default swaps (CDSs), by implementing wavelet coherence. Our research aims at revealing whether the VIX can be used to hedge against the bubble behavior of the CDS market in different investment holding periods (short-run, medium-run, and long-run), as well as whether either market can be used to manage and hedge overall market downside risks. The wavelet coherence results show a high degree of co-movement between the VIX and CDS during the 2007-2009 global financial crisis, across the 16-64 weeks’ frequency band. In addition, we observe that the positive correlation between the VIX and the CDS markets, implying that the market turmoil intensifies the co-movement between the VIX and CDS markets.

목차

1. Introduction

2. Empirical methodology

3. Data

4. Estimation results

5. Conclusions

References

키워드

co-movement wavelet coherence analysis causality VIX CDS