The Impact of Global Volatility on Asian Financial Markets

• 발행기관: 한국자료분석학회
• 저자명: Sang Hoon Kang Ki-Hong Choi Seong-Min Yoon
• 간행물 정보: 『Journal of The Korean Data Analysis Society (JKDAS)』Vol.16 No.4, 1779~1787쪽, 전체 9쪽
• 주제분류: 자연과학 > 통계학
• 파일형태: PDF
• 발행일자: 2014.08.30

영문 초록

This study investigated the intertemporal relationship between global volatility (VIX) and Asian financial markets. The VIX, aka “fear gauge,” got a lot of attention during and after the financial crisis because it exploded when the markets crashed, and it tumbled as the markets rallied. In financial theory, there exists a positive expected returns and risk relationship. However, many empirical studies found a negative relationship between expected returns and implied volatility in financial markets. In this context, this study investigated the relationship between the implied volatility (VIX) and Asian financial markets. We considered the impact of VIX changes on financial markets (equity and foreign exchange markets). In doing it so, utilizing the VAR model, we examined the relationship between expected returns and volatility in Asian financial markets. We supposed that equity returns have a negative relationship with the VIX, but exchange rates have a positive relationship with the VIX. This evidence indicates that investors require more portfolio insurance premiums in the periods of high market turmoil.

목차

1. Introduction

2. Methodology

3. Data

4. Empirical results

5. Conclusions

References

키워드

Volatility index Asian financial markets VAR model Impulse response function