Detalle Publicación


Is market fear persistent? A long-memory analysis

Autores: Caporale, G. M. (Autor de correspondencia); Gil Alaña, Luis Alberiko; Plastun, A.
Título de la revista: FINANCE RESEARCH LETTERS
ISSN: 1544-6123
Volumen: 27
Páginas: 140 - 147
Fecha de publicación: 2018
This paper investigates the degree of persistence of market fear in the VIX index over the sample period 2004-2016, as well as some sub-periods. The findings indicate that its properties change over time: in normal periods it exhibits anti-persistence, whilst during crisis period the level of persistence is increasing. These results can be informative about the nature of financial bubbles and anti-bubbles, and provide evidence on whether there exist market inefficiencies that could be exploited to make abnormal profits by designing appropriate trading strategies.