COMPARISON OF THE EFFECT OF VIX FEAR INDEX ON STOCK EXCHANGE INDICES OF DEVELOPED AND DEVELOPING COUNTRIES: THE G20 CASE

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Ömer İskenderoglu Saffet Akdağ

Abstract

This study aims to examine the potential causal relationship between the VIX and the indicator stock exchange index returns of G20 (9 developed and 10 developing) countries. Nineteen countries of the sample are G20 countries with available data. In this respect, the frequency domain Granger causality test of Breitung and Candelon (2006) is employed for the daily data between March 2011 and December 2017. The results obtained from the study indicate that there is no causal relationship between the VIX and the returns of the NASDAQ 100 index in developed countries. Similarly, no causal relationship is detected which runs from the VIX to the BIST100, BOVESPA, MERVAL, S&P/BMV IPC and TADAWUL stock index returns in developing countries. As a result, the causal relationship is more tend to be found in developed countries in comparison to developing countries.

Article Details

How to Cite
İskenderoglu, Ömer, & Akdağ, S. (2020). COMPARISON OF THE EFFECT OF VIX FEAR INDEX ON STOCK EXCHANGE INDICES OF DEVELOPED AND DEVELOPING COUNTRIES: THE G20 CASE. The South East European Journal of Economics and Business, 15(1), 105-121. Retrieved from http://journal.efsa.unsa.ba/index.php/see/article/view/1099
Section
Scientific and Professional papers: Economics and Business
Author Biographies

Ömer İskenderoglu, Ömer Halisdemir University

Ömer İskenderoğlu is a Professor of finance at Ömer Halisdemir University in Turkey. After completing his PhD in 2008 he become a faculty member on 2009. He has been instructing courses at several domestic and international Universities such as University of Cukurova, Nigde Omer Halisdemir University, and Linkoping University. He also held visiting lecturer positions at several European Universities. Besides he has instructed financial management, business finance, international finance and portfolio management courses. The level of his courses are on Bachelor, Masters, and PhD. degrees. While he is studying empirical finance, he has got more than 45 papers and 3 books published.

Saffet Akdağ, Tarsus University

Saffet Akdag is a assistant professor of banking and finance at Tarsus University in Turkey. He completed his PhD in 2017 and he become a faculty member in 2018. He has been instructing courses at Tarsus University. Besides he has instructed financial management, financial investment tools, financial markets and institutions courses. While he is studying empirical finance, he has got more than 15 papers and 2 books published.