印度波动率指数的制度转换行为及其与特定发达经济体的时变相关性

Business and Economic Horizons Pub Date : 2017-01-01 DOI:10.15208/BEH.2017.45

J. Chittineni

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引用次数: 1

摘要

本文研究了国际金融市场一体化对印度隐含波动率指数制度转换行为的触发作用，以及其与所选发达市场的制度依赖条件相关性。两态动态回归模型使用状态相关变量揭示了2009年至2016年期间的两种不同制度。结果发现，在高度波动状态下，香港和美国市场对印度市场的影响显著，而在印度市场稳定状态下，这两个市场之间存在明显的脱钩效应。预测的拐点概率表明牛市状态是持续的。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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Regime switching behavior of Indian VIX and its time dependent correlation with select developed economies

This paper investigates the international financial market integration as a trigger for regime switching behavior of Indian implied volatility index and its regime-dependent conditional correlations with the selected developed markets. The 2-state dynamic regression model reveals two different regimes using state-dependent variables during the time period 2009 to 2016. The results found that Hong Kong and US markets have a significant effect on the Indian market during highly volatile state, and there is a clear decoupling effect among these markets when the Indian market is stable. The predicted turning point probabilities indicate that the bull market state is persistent.

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Business and Economic Horizons ECONOMICS-

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期刊介绍： The Business and Economic Horizons (BEH) is an international peer-reviewed journal that publishes high quality theoretical, empirical, and review papers covering the broad spectrum of research in areas of economics, business, management, and finance. The journal aim is to bridge the gap between the theory and the observed data in these constantly developing domains. BEH Editorial Board welcomes the high-quality original research articles and review papers that verify the well-grounded and the emerging theories by employing the econometric, statistical methods or other relevant empirical methods in theoretical and applied economic analysis. BEH does not discriminate articles utilizing the non-mainstream approaches such as experimental research, institutional analysis, other variations of heterodox and developmental economic studies. Therefore, the submissions in any field of micro- and macroeconomics, business ethics, economic policy or finance are appropriate for this journal. We hope, the provided contributions will help to understand the contemporary challenges faced by the private and public sector and will establish an international forum of empirical research.