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Spreading the Fear: The Central Role of Cboe VIX in Global Stock Market Uncertainty
16 references·4 citing·49 second hop
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References

  • 1969Investigating Causal Relations by Econometric Models and Cross-spectral Methods22,971 cited
  • 1980Macroeconomics and Reality12,826 cited
  • 2002No Contagion, Only Interdependence: Measuring Stock Market Comovements4,647 cited
  • 1995Time‐Varying World Market Integration2,152 cited
  • 1989International Transmission of Stock Market Movements1,412 cited
  • 2000The Investor Fear Gauge1,097 cited
  • 1999No Contagion, Only Interdependence: Measuring Stock Market Co-movements968 cited
  • 2005International Stock Return Comovements860 cited
  • 1995Asymmetric volatility transmission in international stock markets728 cited
  • 2005Volatility Spillover Effects in European Equity Markets651 cited
  • 2001Forecasting S&P 100 volatility: the incremental information content of implied volatilities and high-frequency index returns589 cited
  • 1995Predicting stock market volatility: A new measure538 cited
  • 1996International Market Correlation and Volatility468 cited
  • 2011What Segments Equity Markets?406 cited
  • 2009What Segments Equity Markets?260 cited
  • 2004International equity market integration: Theory, evidence and implications

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252 cited

Cited by

  • 2023Spreading of cross-market volatility information: Evidence from multiplex network analysis of volatility spillovers59 cited
  • 2020Investors’ risk perceptions in the US and global stock market integration46 cited
  • 2024Quantile connectedness between VIX and global stock markets39 cited
  • 2022The impact of Twitter-based sentiment on US sectoral returns29 cited