VIX仍然是投资者恐惧的指标吗？US和BRIC市场的证据
Is VIX still the investor fear gauge? Evidence for the US and BRIC markets
摘要：
我们研究了波动率指数与美国和金砖四国市场的关系。具体而言，我们从（Sarwar，2012）的中断点开始进行分析，重点关注2007年1月至2018年2月这一时期，从而捕捉到2008年金融危机之前、期间和之后的关系。结果指出，波动率指数频繁出现结构性突变，并表明在2008年左右，恐惧传导在应对负面市场走势时有所增强;这在很大程度上取决于交易时间的重叠，这在危机后对美国来说变得更加强大，而对金砖四国来说，已经回到了危机前的水平。
英文摘要：
We investigate the relationships of the VIX with US and BRIC markets. In detail, we pick up the analysis from the point left off by (Sarwar, 2012), and we focus on the period: Jan 2007 - Feb 2018, thus capturing the relations before, during and after the 2008 financial crisis. Results pinpoint frequent structural breaks in the VIX and suggest an enhancement around 2008 of the fear transmission in response to negative market moves; largely depending on overlaps in trading hours, this has become even stronger post-crisis for the US, while for BRIC countries has gone back towards pre-crisis levels.
机构、总结、中文摘要均由AI分析而来，可能存在错误，请以论文正文为准。
