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### VIX指数对股票市场间联动性影响的实证研究

• 出版日期:2018-06-25 发布日期:2018-06-22

### An Empirical Study on the Reciprocal Impacts of VIX Index on Stock Market

Ye Wuyi et al.

• Online:2018-06-25 Published:2018-06-22

Abstract: As financial crises come up from time to time, studies on the dynamic reciprocal impacts among international financial markets have become one of the most important topics. Scholars used to focus on the correlationship among the financial markets directly, while neglected the impacts of exogenous financial variables on those markets. In view of STCC model proposed in the article of Silvennoinen and Terasvirta(2015), this paper does some studies on the above-mentioned issues, assuming that Copula's parameters are affected by exogenous variables, building up the time-varying dynamic Copula model – ST-VCopula model, furthermore, based on this model probing into the reciprocal impacts of market volatility index(VIX index) on the correlationship among the stock markets and an empirical study done with data from stock markets of several countries. The result shows that there is a significant reciprocal effect of VIX index on stock markets. The VIX index, being easy and handy, as well as illustrational, provides an option for studying the reciprocal impacts on stock markets, and some guidance and advice for individual investors to engage in financial activities.