Construction of Spillover Index Among Stock, Gold, and Exchange Rate Implied Volatility Index

• Main Authors: Yueh-Ting Chiang, 蔣岳廷
• Other Authors: Hsiu-Chuan Lee
• Format: Others
• Language: zh-TW
• Published: 2014
• Online Access: http://ndltd.ncl.edu.tw/handle/36976558937454149293

碩士 === 銘傳大學 === 財務金融學系碩士班 === 102 === This paper examines the impact of the spillover index for volatility indices on stock returns. Specifically, this paper constructs the spillover Matrices by using the data of the S&P 500 (VIX), gold volatility index (GVZ), and exchange rate volatility index (EVZ). We estimate the directional spillover index and total spillover index based on Diebold and Yilmaz’s (2012) forecast-error variance decompositions in a generalized vector autoregressive framework. The empirical results show that while the volatility indices for S&P 500, gold, and exchange rate have no significant effects on subsequent U.S. and EURO stock returns, the spillover index of volatility indices has a significant impact on subsequent the U.S. and EURO stock returns. This finding implies that the spillover index of volatility indices contains more information on market returns than the individual volatility index. Our empirical results provide useful information for policy makers, investors, and risk managers.