The volatility spillover effects among risk appetite indexes: insight from the VIX and the rise

Akdag S., İskenderoglu Ö., Alola A. A.

Letters in Spatial and Resource Sciences, cilt.13, sa.1, ss.49-65, 2020 (ESCI) identifier

  • Yayın Türü: Makale / Tam Makale
  • Cilt numarası: 13 Sayı: 1
  • Basım Tarihi: 2020
  • Doi Numarası: 10.1007/s12076-020-00244-3
  • Dergi Adı: Letters in Spatial and Resource Sciences
  • Derginin Tarandığı İndeksler: Emerging Sources Citation Index (ESCI), Scopus, EconLit
  • Sayfa Sayıları: ss.49-65
  • Anahtar Kelimeler: Frequency domain causality, Risk appetite, Volatility spillover effects
  • İstanbul Gelişim Üniversitesi Adresli: Evet

Özet

© 2020, Springer-Verlag GmbH Germany, part of Springer Nature.This study aims to test the volatility spillover effects among the global risk appetite, the VIX (also known as the fear index) and the RISE index (known as the indicator of investor risk appetite index in Turkey). A temporary or permanent causality Granger and Breitung Candelon (Breitung and Candelon in J Econom 132(2):363–378, 2006) frequency domain causality analyses were performed by using the weekly dataset spanning from January 2010 to December 2018. The results obtained from the study reveals a unilateral causal relationship running from the VIX toward the RISE index. This causality inference is also observed separately in the short-, medium- and the long-run. Consequently, the investigation found that there is a permanent causal relationship running from the VIX toward the RISE index. These results also indicate the existence of the volatility spillover effect among the risk appetite indexes. Consequently, the current study offers significant policy directives from the side of the government and other stakeholders especially that are targeted at mitigating fear factors in the economy.