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

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dc.authoridalola, andrew/0000-0001-5355-3707
dc.authoridAKDAG, SAFFET/0000-0001-9576-6786
dc.contributor.authorAkdag, Saffet
dc.contributor.authorIskenderoglu, Omer
dc.contributor.authorAlola, Andrew Adewale
dc.date.accessioned2024-11-07T13:34:28Z
dc.date.available2024-11-07T13:34:28Z
dc.date.issued2020
dc.departmentNiğde Ömer Halisdemir Üniversitesi
dc.description.abstractThis 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.
dc.identifier.doi10.1007/s12076-020-00244-3
dc.identifier.endpage65
dc.identifier.issn1864-4031
dc.identifier.issn1864-404X
dc.identifier.issue1
dc.identifier.scopus2-s2.0-85079804970
dc.identifier.scopusqualityQ2
dc.identifier.startpage49
dc.identifier.urihttps://doi.org/10.1007/s12076-020-00244-3
dc.identifier.urihttps://hdl.handle.net/11480/16001
dc.identifier.volume13
dc.identifier.wosWOS:000516393200001
dc.identifier.wosqualityN/A
dc.indekslendigikaynakWeb of Science
dc.indekslendigikaynakScopus
dc.language.isoen
dc.publisherSpringer Heidelberg
dc.relation.ispartofLetters in Spatial and Resource Sciences
dc.relation.publicationcategoryMakale - Uluslararası Hakemli Dergi - Kurum Öğretim Elemanı
dc.rightsinfo:eu-repo/semantics/closedAccess
dc.snmzKA_20241106
dc.subjectRisk appetite
dc.subjectVolatility spillover effects
dc.subjectFrequency domain causality
dc.titleThe volatility spillover effects among risk appetite indexes: insight from the VIX and the rise
dc.typeArticle

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