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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.
ISSN: 1544-6123
Appears in Collections:Brunel Business School Research Papers

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