Please use this identifier to cite or link to this item:
http://bura.brunel.ac.uk/handle/2438/15855
Title: | Is market fear persistent? A long-memory analysis |
Authors: | Caporale, GM Gil-Alana, L Plastun, A |
Keywords: | market fear;VIX;persistence;long memory;R/S analysis;fractional integration |
Issue Date: | 23-Feb-2018 |
Publisher: | Elsevier |
Citation: | Finance Research Letters, 2018, 27, 140 - 147 |
Abstract: | © 2018 The Authors. This paper investigates the degree of persistence of market fear in the VIX index over the sample period 2004–2016, as well as some sub-periods. The findings indicate that its properties change over time: in normal periods it exhibits anti-persistence, whilst during crisis period the level of persistence is increasing. These results can be informative about the nature of financial bubbles and anti-bubbles, and provide evidence on whether there exist market inefficiencies that could be exploited to make abnormal profits by designing appropriate trading strategies. |
URI: | https://bura.brunel.ac.uk/handle/2438/15855 |
DOI: | https://doi.org/10.1016/j.frl.2018.02.007 |
ISSN: | 1544-6123 |
Appears in Collections: | Brunel Business School Research Papers |
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