Fear estimation-evidence from BRICS and UK

Title

Fear estimation-evidence from BRICS and UK

Creator

Ghosh B.; Le Roux C.; Ianole R.

Description

The paper aims to build a composite Fear Index for the BRICS countries and UK by adding new dimensions to the initial structure, such as overbought/oversold conditions and commodity impacts. The main purpose is to identify the degree in which fear really percolates down to all the market participants, respectively if this generates a certain asset transfer to Gold. The results point out the GMM model as the best fit for explaining the link between the Fear Index and the behaviour of market participants. It also confirms the transfer of assets to a safer asset class during the phases of high volatility on the market. Serials Publications Pvt. Ltd.

Source

International Journal of Applied Business and Economic Research, Vol-15, No. 4, pp. 195-207.

Date

2017-01-01

Publisher

Serials Publications

Subject

Fear Gauge; Generalized Method of Moments; Reverse Anchoring; VIX

Coverage

Ghosh B., Institute of Management, Christ University, India; Le Roux C., University of Johannesburg, South Africa; Ianole R., University of Bucharest, Romania

Rights

Restricted Access

Relation

ISSN: 9727302

Format

Online

Language

English

Type

Article

Identifier

https://www.scopus.com/inward/record.uri?eid=2-s2.0-85016334081&partnerID=40&md5=49e81cbcf4793ca46ab786104359621e