caa a22 4500 605534330 CHVBK 20210128100842.0 cr unu---uuuuu 210128e20150801xx s 000 0 eng 10.1007/s10663-014-9266-y doi (NATIONALLICENCE)springer-10.1007/s10663-014-9266-y Non-linearity, persistence and spillover effects in stock returns: the role of the volatility index [Elektronische Daten] [Po-Chin Wu, Sheng-Chieh Pan, Xue-Ling Tai] 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. Springer Science+Business Media New York, 2014 Panel smooth transition autoregression (PSTAR) model nationallicence Volatility index (VIX) nationallicence Persistence nationallicence Spillover effect nationallicence Regime switching nationallicence Wu Po-Chin Department of International Business, Chung Yuan Christian University, No. 200, Chung Pei Rd., 320, Chung Li, Taiwan, ROC aut Pan Sheng-Chieh Department of Tourism and Leisure Management, China University of Technology, 530, Sec. 3, Jhongshan Rd., Hukou Township, Hsinchu County, Taiwan, ROC aut Tai Xue-Ling Department of International Business, Chung Yuan Christian University, No. 200, Chung Pei Rd., 320, Chung Li, Taiwan, ROC aut Empirica Springer US; http://www.springer-ny.com 42/3(2015-08-01), 597-613 0340-8744 42:3<597 2015 42 10663 https://doi.org/10.1007/s10663-014-9266-y text/html Onlinezugriff via DOI BK010053 XK010053 XK010000 Metadata rights reserved Springer special CC-BY-NC licence nationallicence 1 research-article jats NATIONALLICENCE NATIONALLICENCE NL-springer NATIONALLICENCE 856 40 https://doi.org/10.1007/s10663-014-9266-y text/html Onlinezugriff via DOI NATIONALLICENCE 700 1- Wu Po-Chin Department of International Business, Chung Yuan Christian University, No. 200, Chung Pei Rd., 320, Chung Li, Taiwan, ROC aut NATIONALLICENCE 700 1- Pan Sheng-Chieh Department of Tourism and Leisure Management, China University of Technology, 530, Sec. 3, Jhongshan Rd., Hukou Township, Hsinchu County, Taiwan, ROC aut NATIONALLICENCE 700 1- Tai Xue-Ling Department of International Business, Chung Yuan Christian University, No. 200, Chung Pei Rd., 320, Chung Li, Taiwan, ROC aut NATIONALLICENCE 773 0- Empirica Springer US; http://www.springer-ny.com 42/3(2015-08-01), 597-613 0340-8744 42:3<597 2015 42 10663