Examining the flight-to-safety with the implied volatilities

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• 作者：Ghulam Sarwar ; ^{gsarwar@csusb.edu}
• 关键词：Flight-to-safety ; VIX ; Implied volatilities
• 刊名：Finance Research Letters
• 出版年：2017
• 出版时间：February 2017
• 年：2017
• 卷：20
• 期：Complete
• 页码：118-124
• 全文大小：325 K
• 卷排序：20

文摘

Investigates the flight-to-safety phenomenon using implied volatilities. Higher VIX leads to higher volatilities for T-note, gold, and silver markets. The VIX Granger causes non-stock volatilities but not vice versa. The results are consistent with the flight-to-safety effects and complement cross-market hedging.