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

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dc.authoridhttps://orcid.org/0000-0001-9576-6786en_US
dc.contributor.authorAkdağ, Saffet
dc.contributor.authorİskenderoğlu, Ömer
dc.contributor.authorAlola, Andrew Adewale
dc.date.accessioned2020-05-24T17:21:35Z
dc.date.available2020-05-24T17:21:35Z
dc.date.issued2020en_US
dc.departmentİktisadi İdari ve Sosyal Bilimler Fakültesien_US
dc.descriptionDocument Information Language:English Accession Number: WOS:000516393200001en_US
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.en_US
dc.identifier.doi10.1007/s12076-020-00244-3en_US
dc.identifier.issn1864-4031
dc.identifier.issn1864-404X
dc.identifier.scopus2-s2.0-85079804970en_US
dc.identifier.scopusqualityQ2en_US
dc.identifier.urihttps://hdl.handle.net/11363/2161
dc.identifier.urihttps://doi.org/
dc.identifier.wosWOS:000516393200001en_US
dc.identifier.wosqualityN/Aen_US
dc.indekslendigikaynakWeb of Scienceen_US
dc.indekslendigikaynakScopusen_US
dc.language.isoenen_US
dc.publisherSPRINGER HEIDELBERG, TIERGARTENSTRASSE 17, D-69121 HEIDELBERG, GERMANYen_US
dc.relation.ispartofLETTERS IN SPATIAL AND RESOURCE SCIENCESen_US
dc.relation.publicationcategoryMakale - Uluslararası Hakemli Dergi - Kurum Öğretim Elemanıen_US
dc.rightsinfo:eu-repo/semantics/openAccessen_US
dc.rightsAttribution-NonCommercial-NoDerivs 3.0 United States*
dc.rights.urihttp://creativecommons.org/licenses/by-nc-nd/3.0/us/*
dc.subjectRisk appetiteen_US
dc.subjectVolatility spillover effectsen_US
dc.subjectFrequency domain causalityen_US
dc.subjectSTOCK-MARKET VOLATILITYen_US
dc.subjectTIME-SERIESen_US
dc.subjectUNIT-ROOTen_US
dc.subjectCONTAGIONen_US
dc.subjectBEHAVIORen_US
dc.subjectRETURNSen_US
dc.subjectFEARen_US
dc.subjectUnited Statesen_US
dc.subjectDEPENDENCEen_US
dc.subjectLINKAGESen_US
dc.titleThe volatility spillover effects among risk appetite indexes: Insight from the VIX and the riseen_US
dc.typeArticleen_US

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