Nonlinear Dynamics Between the Investor Fear Gauge and Market Index in the Emerging Taiwan Equity Market

Lu, Yang-Cheng; Wei, Yu‐Chen; Chang, Chien-Wei

doi:10.2753/ree1540-496x4801s111

Cited by 8 publications

(7 citation statements)

References 28 publications

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“…Most empirical literature has focused on dynamics between VIX and equity markets. The studies (Yang Cheng Lu, 2012), (Sarwar, 2012), (Kang, Ki-Hong, & Yoon, 2014), and (Kang, Yun-Jung, Ki-Hong, & Sungkyun, 2014) explored the dynamic relation between VIX and equity markets. They conclude VIX plays a significant role as fear gauge indicator for investors to forecast future movements of equity markets.…”

Section: Introductionmentioning

confidence: 99%

Global Volatility Spillover in Asian Financial Markets

Ishfaq¹,

Zhang²,

Rehman³

2018

Mediterranean Journal of Social Sciences

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The present paper accommodates the spillover impact of market volatility index of S & P 500 (VIX) and China exchange-traded fund’s volatility (VXFXI) on the emerging equity (KSE-100 index) and foreign exchange markets of Pakistan. In this context, we use a vector autoregressive (VAR) model and impulse response functions (IRF) to explore link among VIX indices and financial markets of Pakistan for the differential time periods. The study concludes that a rise in both VIX and VXFXI results in price falls of KSE-100 index and deteriorates exchange rate market. This implies that VIX act as ‘fear gauge’ on both stock and exchange rate markets in Pakistan. These outcomes provide an imperative implication on the pattern of currency and stock sensitivities against global volatility. This reveals that adverse movements in global volatility in the USA and Chinese financial market have a significant impact and a rise in VIX causes an outflow of investment from financial markets of Pakistan. Moreover, our results may guide local and global investors to anticipate the potential direction of stock and exchange rate markets based on market volatility index.

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Section: Introductionmentioning

confidence: 99%

Global Volatility Spillover in Asian Financial Markets

Ishfaq¹,

Zhang²,

Rehman³

2018

Mediterranean Journal of Social Sciences

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“…71301072 ing market with low market efficiency, changes in individual investors' attention could affect not only the efficiency but also the effectiveness of information dissemination and interpretation and therefore may result in irrational and abnormal fluctuations of stock prices. Most of the existing literature interprets abnormal fluctuations of stock returns in emerging markets by investors' sentiment (e.g., Canbaş and Kandır 2009;Lu et al 2012;Wang et al 2012). In this paper, we attempt to examine the effects of individual investors' attention on stock returns in China's stock market.…”

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confidence: 99%

The Effects of Individual Investors' Attention on Stock Returns: Evidence from the ChiNext Market

Fang

Jiang

Qian

2014

Emerging Markets Finance and Trade

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We propose three hypotheses regarding the effects of individual investors' attention on stock returns according to special features of China's stock market. We adopt the Baidu index as the proxy for individual investors' attention to stocks. Empirical tests of the three hypotheses are based on sample data collected from the ChiNext market. Results show that individual investors' attention and market return have joint positive effects on short-term stock returns. Furthermore, high individual investors' attention to IPO stocks leads to high first-day returns but low long-term returns following the first trading day.

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“…In addition to their ample market liquidity, the futures and options markets facilitate an ideal setting to investigate issues due to various other factors. Previous studies on the KOSPI200 index derivatives markets consistently 1 Although some recent studies, such as Lee and Ryu (2014) and Lu et al (2012), indirectly examine option price dynamics by analyzing implied volatilities derived from options markets under the TVECM framework, these studies fail to cover mispricing and transaction cost issues. 2 Exceptionally, Lee et al (2015) employ the TVECM to investigate the nonlinear relationships among these three markets.…”

Section: Introductionmentioning

confidence: 99%

Asymmetric Mispricing and Regime‐dependent Dynamics in Futures and Options Markets

Lee

Ryu

2016

Asian Economic Journal

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We examine regime-dependent price dynamics and mispricing adjustments within the KOSPI200 spot, futures and options markets through an analysis of data from January 2000 to December 2014. Investors exploit mispricing between derivatives and spot markets only if mispricing is sufficiently large. The futures traders take long, rather than short, positions to adjust for mispricing. Mispricing between spot and options markets is adjusted by trading options and not by trading spots. We find the bidirectional information flows between spot and futures markets when the futuresimplied index is sufficiently larger than the spot index. In contrast, no significant lead-lag relationship between spot and options markets exists. Significant asymmetric transaction costs exist in the spot market and this asymmetry has decreased over time.

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Nonlinear Dynamics Between the Investor Fear Gauge and Market Index in the Emerging Taiwan Equity Market

Cited by 8 publications

References 28 publications

Global Volatility Spillover in Asian Financial Markets

Global Volatility Spillover in Asian Financial Markets

The Effects of Individual Investors' Attention on Stock Returns: Evidence from the ChiNext Market

Asymmetric Mispricing and Regime‐dependent Dynamics in Futures and Options Markets

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