The predictive power of stock market's expectations volatility: A financial synchronization phenomenon.
PLoS One
; 16(5): e0250846, 2021.
Article
em En
| MEDLINE
| ID: mdl-34014976
We explore the use of implied volatility indices as a tool for estimate changes in the synchronization of stock markets. Specifically, we assess the implied stock market's volatility indices' predictive power on synchronizing global equity indices returns. We built the correlation network of 26 stock indices and implemented in-sample and out-of-sample tests to evaluate the predictive power of VIX, VSTOXX, and VXJ implied volatility indices. To measure markets' synchronization, we use the Minimum Spanning Tree length and the length of the Planar Maximally Filtered Graph. Our results indicate a high predictive power of all the volatility indices, both individually and together, though the VIX predominates over the evaluated options. We find that an increase in the markets' volatility expectations, captured by the implied volatility indices, is a good Granger predictor of an increase in the synchronization of returns in the following month. Estimating, monitoring, and predicting returns' synchronization is essential for investment decision-making, especially for diversification strategies and regulating financial systems.
Texto completo:
1
Coleções:
01-internacional
Base de dados:
MEDLINE
Assunto principal:
Previsões
/
Investimentos em Saúde
Tipo de estudo:
Health_economic_evaluation
/
Prognostic_studies
/
Risk_factors_studies
Limite:
Humans
Idioma:
En
Revista:
PLoS One
Assunto da revista:
CIENCIA
/
MEDICINA
Ano de publicação:
2021
Tipo de documento:
Article
País de afiliação:
Chile
País de publicação:
Estados Unidos