Dynamic Responses of Major Pacific Rim Emerging Equity Markets to the US Crude Oil Fear Index (OVX)

This study examines the reaction of four major equity markets of the world to the US equity market fear index, i.e., the Chicago Board of Trade Volatility Index (VIX). The VIX is designed to perform as a leading indicator of the volatility in equity markets. Our paper examines the daily data for the period of 2013 through 2018. We find that during this period there were three significant breaks in the data. Impulse responses from the structural vector autoregressive model estimation show that, in the first and second subperiods that cover from 6/2013 through 5/2016, equity market volatility in the US, UK, France, and Germany responded to structural shocks to the VIX. Nonlinear Granger causality tests confirm these findings. However, in the post Brexit-vote era, equity indices neither react to VIX structural shocks nor are caused by these shocks.

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An empirical analysis of the dynamic interactions among ethanol, crude oil and corn prices in the US market

Annals of Operations Research ◽

10.1007/s10479-018-2832-0 ◽

2018 ◽

Vol 294 (1-2) ◽

pp. 47-57 ◽

Cited By ~ 3

Author(s):

Dimitrios Dimitriadis ◽

Constantinos Katrakilidis

Keyword(s):

Crude Oil ◽

Empirical Analysis ◽

Dynamic Interactions ◽

The Us ◽

Corn Prices

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International portfolio diversification: United States and south Asian equity markets

Panoeconomicus ◽

10.2298/pan1402241m ◽

2014 ◽

Vol 61 (2) ◽

pp. 241-252 ◽

Cited By ~ 1

Author(s):

Rizwan Mushtaq ◽

Zulfiqar Shah

Keyword(s):

Stock Market ◽

South Asian ◽

Equity Markets ◽

Equity Market ◽

Causality Test ◽

Market Index ◽

International Portfolio Diversification ◽

The Us ◽

Short And Long Term

This paper explores the dynamic liaison between US and three developing South Asian equity markets in short and long term. To gauge the long-term relationship, we applied Johansen co-integration procedure as all the representative indices are found to be non-stationary at level. The findings illustrate that the US equity market index exhibits a reasonably different movement over time in contrast to the three developing equity markets under consideration. However, the Granger-causality test divulge that the direction of causality scamper from US equity market to the three South Asian markets. It further indicates that within the three developing equity markets the direction of causality emanates from Bombay stock market to Karachi and Colombo. Overall, the results of the study suggest that the American investors can get higher returns through international diversification into developing equity markets, while the US stock market would also be a gainful upshot for South Asian investors.

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