Please use this identifier to cite or link to this item:
|Title:||Is market fear persistent? A long-memory analysis|
|Keywords:||market fear;VIX;persistence;long memory;R/S analysis;fractional integration|
|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.|
|Appears in Collections:||Brunel Business School Research Papers|
Items in BURA are protected by copyright, with all rights reserved, unless otherwise indicated.