Non-linearity, persistence and spillover effects in stock returns: the role of the volatility index
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DOI: 10.1007/s10663-014-9266-y
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Cited by:
- Linyu Wang & Yifan Ji & Zhongxin Ni, 2024. "Which implied volatilities contain more information? Evidence from China," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 29(2), pages 1896-1919, April.
- Jiayu Huang & Yifan Wang & Yaojun Fan & Hexuan Li, 2022. "Gauging the effect of investor overconfidence on trading volume from the perspective of the relationship between lagged stock returns and current trading volume," International Finance, Wiley Blackwell, vol. 25(1), pages 103-123, April.
- 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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More about this item
Keywords
Panel smooth transition autoregression (PSTAR) model; Volatility index (VIX); Persistence; Spillover effect; Regime switching; C23; G10;All these keywords.
JEL classification:
- C23 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Models with Panel Data; Spatio-temporal Models
- G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
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