Non-linearity, persistence and spillover effects in stock returns: the role of the volatility index
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| 024 | 7 | 0 | |a 10.1007/s10663-014-9266-y |2 doi |
| 035 | |a (NATIONALLICENCE)springer-10.1007/s10663-014-9266-y | ||
| 245 | 0 | 0 | |a Non-linearity, persistence and spillover effects in stock returns: the role of the volatility index |h [Elektronische Daten] |c [Po-Chin Wu, Sheng-Chieh Pan, Xue-Ling Tai] |
| 520 | 3 | |a This paper employs panel smooth transition autoregression models, using the volatility index (VIX) as the transition variable, to evaluate the persistence, efficiency, and spillover effects of stock markets in G-10 and ASEAN-5 countries. The persistence effects are nonlinear and vary with time and across countries, depending on the value of the VIX. When VIXs are over specific thresholds (30.69 and 31.04), the stock returns in G-10 and ASEAN-5 display moderate and similar persistence effects and make lagged stock returns become more important when evaluating current stock returns. The spillover effects occur from VIX to stock returns. The speculation behavior of stock markets in ASEAN-5 is higher than that in G-10; however, the result in the efficiency of stock markets is the opposite. | |
| 540 | |a Springer Science+Business Media New York, 2014 | ||
| 690 | 7 | |a Panel smooth transition autoregression (PSTAR) model |2 nationallicence | |
| 690 | 7 | |a Volatility index (VIX) |2 nationallicence | |
| 690 | 7 | |a Persistence |2 nationallicence | |
| 690 | 7 | |a Spillover effect |2 nationallicence | |
| 690 | 7 | |a Regime switching |2 nationallicence | |
| 700 | 1 | |a Wu |D Po-Chin |u Department of International Business, Chung Yuan Christian University, No. 200, Chung Pei Rd., 320, Chung Li, Taiwan, ROC |4 aut | |
| 700 | 1 | |a Pan |D Sheng-Chieh |u Department of Tourism and Leisure Management, China University of Technology, 530, Sec. 3, Jhongshan Rd., Hukou Township, Hsinchu County, Taiwan, ROC |4 aut | |
| 700 | 1 | |a Tai |D Xue-Ling |u Department of International Business, Chung Yuan Christian University, No. 200, Chung Pei Rd., 320, Chung Li, Taiwan, ROC |4 aut | |
| 773 | 0 | |t Empirica |d Springer US; http://www.springer-ny.com |g 42/3(2015-08-01), 597-613 |x 0340-8744 |q 42:3<597 |1 2015 |2 42 |o 10663 | |
| 856 | 4 | 0 | |u https://doi.org/10.1007/s10663-014-9266-y |q text/html |z Onlinezugriff via DOI |
| 898 | |a BK010053 |b XK010053 |c XK010000 | ||
| 900 | 7 | |a Metadata rights reserved |b Springer special CC-BY-NC licence |2 nationallicence | |
| 908 | |D 1 |a research-article |2 jats | ||
| 949 | |B NATIONALLICENCE |F NATIONALLICENCE |b NL-springer | ||
| 950 | |B NATIONALLICENCE |P 856 |E 40 |u https://doi.org/10.1007/s10663-014-9266-y |q text/html |z Onlinezugriff via DOI | ||
| 950 | |B NATIONALLICENCE |P 700 |E 1- |a Wu |D Po-Chin |u Department of International Business, Chung Yuan Christian University, No. 200, Chung Pei Rd., 320, Chung Li, Taiwan, ROC |4 aut | ||
| 950 | |B NATIONALLICENCE |P 700 |E 1- |a Pan |D Sheng-Chieh |u Department of Tourism and Leisure Management, China University of Technology, 530, Sec. 3, Jhongshan Rd., Hukou Township, Hsinchu County, Taiwan, ROC |4 aut | ||
| 950 | |B NATIONALLICENCE |P 700 |E 1- |a Tai |D Xue-Ling |u Department of International Business, Chung Yuan Christian University, No. 200, Chung Pei Rd., 320, Chung Li, Taiwan, ROC |4 aut | ||
| 950 | |B NATIONALLICENCE |P 773 |E 0- |t Empirica |d Springer US; http://www.springer-ny.com |g 42/3(2015-08-01), 597-613 |x 0340-8744 |q 42:3<597 |1 2015 |2 42 |o 10663 | ||