Regime switching behavior of Indian VIX and its time dependent correlation with select developed economies

• Authors: Chittineni Jyothi
• Languages of publication: EN

Abstracts

EN

This paper investigates the international financial market integration as a trigger for regime switching behavior of Indian implied volatility index and its regime-dependent conditional correlations with the selected developed markets. The 2-state dynamic regression model reveals two different regimes using state-dependent variables during the time period 2009 to 2016. The results found that Hong Kong and US markets have a significant effect on the Indian market during highly volatile state, and there is a clear decoupling effect among these markets when the Indian market is stable. The predicted turning point probabilities indicate that the bull market state is persistent.

Keywords

EN

Markov regime switching; financial integration; implied volatility index; correlation

Discipline

• ECONOMICS: ECONOMICS

• Publisher: Prague Development Center, Czech Republic
• Journal: Business and Economic Horizons
• Year: 2017
• Volume: Volume 13
• Issue: Issue 5
• Pages: 666-675

Dates

published

2017-11-12

Contributors

author

Chittineni Jyothi

• Vignana Jyothi Institute of Management, India

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