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Korku Endeksi (VIX) ile Gelişmekte Olan Ülke Borsaları Arasındaki İlişkinin Analizi: Yatırımcı Duyarlılığı Üzerine Bir Çalışma
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Korku Endeksi (VIX) ile Gelişmekte Olan Ülke Borsaları Arasındaki İlişkinin Analizi: Yatırımcı Duyarlılığı Üzerine Bir Çalışma (2021)Korku Endeksi (VIX) ile Gelişmekte Olan Ü…The Effect of US Stock Market Uncertainty on Emerging Market Returns (2016)The Effect of US Stock Market…Hedging emerging market stock prices with oil, gold, VIX, and bonds: A comparison between DCC, ADCC and GO-GARCH (2015)Hedging emerging market stock…Spillover of fear: Evidence from the stock markets of five developed countries (2014)Spillover of fear: Evidence f…Is VIX an investor fear gauge in BRIC equity markets? (2012)Is VIX an investor fear gauge…Emerging markets research: Trends, issues and future directions (2012)Emerging markets research: Tr…Introductory Econometrics for Finance (2008)Introductory Econometrics for…The determinants of international financial integration (2007)The determinants of internati…Intra- and inter-regional spillovers between emerging capital markets around the world (2006)Intra- and inter-regional spi…Foreign equity trading and emerging market volatility: Evidence from Indonesia and Thailand (2006)Foreign equity trading and em…Relationships Between Implied Volatility Indexes and Stock Index Returns (2005)Relationships Between Implied…The Investor Fear Gauge (2000)The Investor Fear GaugeShort-run and long-run dynamic linkages among international stock markets (1996)Short-run and long-run dynami…Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root (1981)Likelihood Ratio Statistics f…Theory of Rational Option Pricing (1973)Theory of Rational Option Pri…The Pricing of Options and Corporate Liabilities (1973)The Pricing of Options and Co…Investigating Causal Relations by Econometric Models and Cross-spectral Methods (1969)Investigating Causal Relation…Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Econometric Analysis of Cross Section and Panel Data (2001)Oil prices and the stock prices of alternative energy companies (2007)Stock prices of clean energy firms, oil and carbon markets: A vector autoregressive analysis (2011)The Impact of Corporate Social Responsibility Disclosure on Financial Performance: Evidence from the GCC Islamic Banking Sector (2016)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)THE VALUATION OF RISK ASSETS AND THE SELECTION OF RISKY INVESTMENTS IN STOCK PORTFOLIOS AND CAPITAL BUDGETS**This paper is another in a series of interrelated theoretical and statistical studies of corporate financial and investment policies being made under grants from the Rockefeller Foundation, and more recently the Ford Foundation, to the Harvard Business School. The generous support for this work is most gratefully acknowledged. The author is also much indebted to his colleagues Professors Bishop, Christenson, Kahr, Raiffa, and (especially) Schlaifer, for extensive discussion and commentary on an earlier draft of this paper; but responsibility for any errors or imperfections remains strictly his own.[Professor Sharpe's paper, “Capital Asset Prices: A Theory of Market Equilibrium Under Conditions of Risk” (Journal of Finance, September 1964) appeared after this paper was in final form and on its way to the printers. My first section, which parallels the first half of his paper (with corresponding conclusions), sets the algebraic framework for sections II, III and VI, (which have no counterpart in his paper) and for section IV on the equilibrium prices of risk assets, concerning which our results differ significantly for reasons which will be explored elsewhere. Sharpe does not take up the capital budgeting problem developed in section V below.] (1975)Dynamic network of implied volatility transmission among US equities, strategic commodities, and BRICS equities (2018)Stock Market Forecasting Using Computational Intelligence: A Survey (2020)A closer look into the global determinants of oil price volatility (2021)The Cost of Capital, Corporation Finance and the Theory of Investment (1958)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Theory of rational option pricing (2005)Judgment under Uncertainty: Heuristics and Biases (1974)Corporate Governance and Equity Prices (2003)Microlending in emerging economies: Building a new line of inquiry from the ground up (2011)When Is a Liability Not a Liability? Textual Analysis, Dictionaries, and 10‐Ks (2011)Is marketing agility important for emerging market firms in advanced markets? (2020)Competition and ESG practices in emerging markets: Evidence from a difference-in-differences model (2021)Time Series Analysis: Forecasting and Control (1977)Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Testing for a Unit Root in Time Series Regression (1988)Bounds testing approaches to the analysis of level relationships (2001)Unit root tests in panel data: asymptotic and finite-sample properties (2002)An Intertemporal Capital Asset Pricing Model (1973)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)A behavioral explanation for the negative asymmetric return–volatility relation (2008)U.S. stock returns and oil prices: The tale from daily data and the 2008–2009 financial crisis (2012)Modeling and predicting the CBOE market volatility index (2013)Multivariate Simultaneous Generalized ARCH (1995)Dynamic Conditional Correlation (2002)Asymmetric impact of gold, oil prices and their volatilities on stock prices of emerging markets (2016)Safe haven, hedge and diversification for G7 stock markets: Gold versus bitcoin (2019)Is Gold a Hedge or a Safe-Haven Asset in the COVID–19 Crisis? (2020)Model Specification and Risk Premia: Evidence from Futures Options (2007)The VIX, the variance premium and stock market volatility (2014)Deep neural networks, gradient-boosted trees, random forests: Statistical arbitrage on the S&P 500 (2016)Oil and the Macroeconomy since World War II (1983)Giving Content to Investor Sentiment: The Role of Media in the Stock Market (2007)Testing for Granger non-causality in heterogeneous panels (2012)Option pricing: A simplified approach (1979)
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References

  • 1973The Pricing of Options and Corporate Liabilities29,064 cited
  • 1969Investigating Causal Relations by Econometric Models and Cross-spectral Methods22,971 cited
  • 1981Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root14,647 cited
  • 1973Theory of Rational Option Pricing8,060 cited
  • 2008Introductory Econometrics for Finance3,662 cited
  • 2000The Investor Fear Gauge1,097 cited
  • 2015Hedging emerging market stock prices with oil, gold, VIX, and bonds: A comparison between DCC, ADCC and GO-GARCH547 cited
  • 2005Relationships Between Implied Volatility Indexes and Stock Index Returns432 cited
  • 2012Is VIX an investor fear gauge in BRIC equity markets?193 cited
  • 2012Emerging markets research: Trends, issues and future directions192 cited
  • 2014Spillover of fear: Evidence from the stock markets of five developed countries120 cited
  • 2006Foreign equity trading and emerging market volatility: Evidence from Indonesia and Thailand110 cited
  • 2016The Effect of US Stock Market Uncertainty on Emerging Market Returns103 cited
  • 2006Intra- and inter-regional spillovers between emerging capital markets around the world93 cited
  • 1996Short-run and long-run dynamic linkages among international stock markets

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  • 2007The determinants of international financial integration77 cited
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