Title

Investors’ risk perceptions in the US and global stock market integration

Document Type

Article

Publication Date

4-1-2020

Abstract

Investors’ risk perceptions have significant implications for international stock markets. This paper estimates the time-varying impact of the VIX index – a widely used measure of investors risk perceptions – on the dynamic correlation across international stock markets. Results show that risk perceptions significantly impact the dynamic correlation between the U.S. market and the leading stock markets of the world. Further, in 17 out of 20 international stock markets, risk perceptions Granger cause dynamic correlations. The impact of VIX is positive on the correlation of the U.S. market with European and Latin American markets. In contrast, the relationship of the U.S. market with all the Asian markets weakens (strengthens) as the VIX index rises (falls). In all cases, the time-varying parameter model shows that the impact of VIX on these correlations varies significantly across time.

DOI

10.1016/j.ribaf.2019.101169

Publication Title

Research in International Business and Finance

Volume Number

52

ISSN

02755319

This document is currently not available here.

Share

COinS