Dynamic Responses of Standard and Poor’s Regional Bank Index to the U.S. Fear Index, VIX
نویسندگان
چکیده
This study examines the reaction of Standard and Poor’s Regional Bank Index (SPRB) to U.S. equity market fear index (i.e., Chicago Board Trade Volatility [VIX]). The VIX is designed perform as a leading indicator volatility in markets. However, practitioners observe many periods divergence between S&P 500. Our paper daily data for period 2009 through 2019. We show that once effects consumer confidence capacity utilization are accounted for, there negative association regional bank performance.
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ژورنال
عنوان ژورنال: Journal of risk and financial management
سال: 2021
ISSN: ['1911-8074', '1911-8066']
DOI: https://doi.org/10.3390/jrfm14030114