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DC Field | Value | Language |
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dc.contributor.author | Caporale, GM | - |
dc.contributor.author | Gil-Alana, L | - |
dc.contributor.author | Plastun, A | - |
dc.date.accessioned | 2018-02-23T09:31:31Z | - |
dc.date.available | 2018-05-31 | - |
dc.date.available | 2018-02-23T09:31:31Z | - |
dc.date.issued | 2018-02-23 | - |
dc.identifier.citation | Finance Research Letters, 2018, 27, 140 - 147 | en_US |
dc.identifier.issn | 1544-6123 | - |
dc.identifier.uri | https://bura.brunel.ac.uk/handle/2438/15855 | - |
dc.description.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. | en_US |
dc.description.sponsorship | Ministerio de Ciencia y Tecnología (ECO2014-55236). Ministry of Education and Science of Ukraine (0117U003936). | - |
dc.language.iso | en | en_US |
dc.publisher | Elsevier | - |
dc.subject | market fear | - |
dc.subject | VIX | - |
dc.subject | persistence | - |
dc.subject | long memory | - |
dc.subject | R/S analysis | - |
dc.subject | fractional integration | - |
dc.title | Is market fear persistent? A long-memory analysis | en_US |
dc.type | Article | en_US |
dc.identifier.doi | https://doi.org/10.1016/j.frl.2018.02.007 | - |
dc.relation.isPartOf | Finance Research Letters | - |
pubs.publication-status | Published | - |
Appears in Collections: | Brunel Business School Research Papers |
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FullText.pdf | 377.24 kB | Adobe PDF | View/Open |
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