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Is VIX an investor fear gauge in BRIC equity markets?

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  • Sarwar, Ghulam

Abstract

This study examines the intertemporal relationships between CBOE market volatility index (VIX) and stock market returns in Brazil, Russia, India, and China (BRIC), and between VIX and U.S. stock market returns, to uncover if VIX serves as an investor fear gauge in BRIC and U.S. markets. We conduct the VIX-returns analysis for the 1993–2007 period.

Suggested Citation

  • Sarwar, Ghulam, 2012. "Is VIX an investor fear gauge in BRIC equity markets?," Journal of Multinational Financial Management, Elsevier, vol. 22(3), pages 55-65.
    • Handle: RePEc:eee:mulfin:v:22:y:2012:i:3:p:55-65
    DOI: 10.1016/j.mulfin.2012.01.003
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    More about this item

    Keywords

    VIX; Fear gauge; BRIC; Volatility;
    All these keywords.

    JEL classification:

    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions

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