The Relevance of Cboe Volatility Index to Stock Markets in Emerging Economies

The Relevance of Cboe Volatility Index to Stock Markets in Emerging Economies

We examine the capability of CBOE S&P500 Volatility index (VIX) to determine returns of emerging stock market indices as compared to local stock markets volatility indicators. Our study considers CBOE S&P500 VIX, local BRIC stock market volatility indices and BRIC stock market MSCI indices d...

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Bibliographic Details
Main Authors: Tamara Mariničevaitė, Jovita Ražauskaitė
Format: Article
Language:English
Published: Vilnius University Press 2015-05-01
Series:Organizations and Markets in Emerging Economies
Subjects:
CBOE VIX
BRIC
implied volatility
emerging economy
Online Access:https://www.journals.vu.lt/omee/article/view/14229

Internet

https://www.journals.vu.lt/omee/article/view/14229

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