کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
5069267 1476984 2017 7 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Examining the flight-to-safety with the implied volatilities
ترجمه فارسی عنوان
بررسی پرواز به ایمنی با بی ثباتی ضمنی
موضوعات مرتبط
علوم انسانی و اجتماعی اقتصاد، اقتصادسنجی و امور مالی اقتصاد و اقتصادسنجی
چکیده انگلیسی


- Investigates the flight-to-safety phenomenon using implied volatilities.
- Higher VIX leads to higher volatilities for T-note, gold, and silver markets.
- The VIX Granger causes non-stock volatilities but not vice versa.
- The results are consistent with the flight-to-safety effects and complement cross-market hedging.

This paper investigates the flight-to-safety phenomenon by examining the interactions between the stock market volatility (VIX) and volatilities of the Treasury note, gold, and silver markets. We find that increases in VIX lead to contemporaneous and delayed increases in the volatilities of T-note, gold, and silver prices. The VIX Granger causes the volatilities of T-note, gold, and silver markets, but the latter volatilities do not predict the stock market volatility. Changes in VIX explain more of volatility increases in T-note and gold prices during the financial crisis than in other periods. The leading positive effect of VIX on other expected volatilities, along with the possible negative asset correlations, complements the cross-market hedging and is consistent with the flight-to-safety phenomenon.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Finance Research Letters - Volume 20, February 2017, Pages 118-124
نویسندگان
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