Quantifying Information Flows among Developed and Emerging Equity Markets
Table 3
Information flows between the VIX and emerging markets volatility indices.
Direction of information flow
IMF1
IMF2
IMF3
IMF4
AST
IMF5
IMF6
IMF7
AMT
Residual/LT
ETE (SE)
ETE (SE)
ETE (SE)
ETE (SE)
ETE (SE)
ETE (SE)
ETE (SE)
ETE (SE)
ETE (SE)
ETE (SE)
VXEWZ -> VIX
−0.2076 (0.0782)
−0.0735 (0.0771)
−0.0380 (0.0698)
−0.1270 (0.0686)
−0.0156 (0.0821)
−0.0878 (0.0587)
−0.1282 (0.0637)
−0.0879 (0.0554)
−0.1140 (0.0536)
−0.0831 (0.0714)
VIX -> VXEWZ
−0.2595 (0.0747)
−0.1017 (0.0766)
−0.0483 (0.0684)
−0.1113 (0.0630)
−0.0792 (0.0834)
−0.0387 (0.0650)
−0.0238 (0.0519)
−0.0354 (0.0624)
−0.165 (0.0556)
−0.0888 (0.0725)
RVI -> VIX
−0.0730 (0.0743)
−0.0511 (0.0814)
0.0019 (0.0730)
−0.0303 (0.0668)
−0.1759 (0.0868)
−0.1316 (0.0553)
−0.08565 (0.0614)
−0.0433 (0.0492)
−0.050 (0.0450)
−0.0541 (0.0568)
VIX -> RVI
−0.1667 (0.0722)
0.0842 (0.0763)
−0.149 (0.0753)
−0.1059 (0.0557)
−0.1919 (0.0870)
−0.0762 (0.0588)
0.0010 (0.0511)
−0.0695 (0.0599)
−0.1033 (0.0572)
−0.0489 (0.0754)
NIFVIX -> VIX
−0.1401 (0.068)
0.0091 (0.086)
−0.2122 (0.0717)
−0.1477 (0.0698)
−0.0003 (0.0863)
−0.1123 (0.0501)
−0.1710 (0.0540)
−0.0398 (0.0640)
−0.0477 (0.0497)
−0.1140 (0.0738)
VIX -> NIFVIX
−0.1099 (0.0763)
−0.016 (0.0777)
−0.1149 (0.0789)
−0.1134 (0.0629)
0.1061 (0.0847)
−0.0545 (0.0614)
0.0139 (0.0475)
−0.0721 (0.0637)
−0.0204 (0.0561)
−0.1116 (0.0713)
VXFXI -> VIX
−0.0405 (0.0745)
−0.0682 (0.0812)
−0.0160 (0.070)
0.0463 (0.0658)
−0.0024 (0.0794)
−0.0066 (0.0596)
−0.0910 (0.0594)
−0.0406 (0.0653)
−0.0509 (0.0522)
−0.1103 (0.0696)
VIX -> VXFXI
−0.1095 (0.0704)
0.0429 (0.0768)
−0.1744 (0.0734)
−0.1917 (0.0585)
−0.0017 (0.0912)
−0.1127 (0.0661)
−0.0751 (0.0512)
−0.0667 (0.0637)
−0.1566 (0.0618)
−0.1190 (0.0761)
VXEEM -> VIX
−0.0577 (0.0702)
−0.1222 (0.0722)
0.0734 (0.0697)
0.0757 (0.0620)
−0.0920 (0.0822)
−0.0815 (0.0582)
−0.1262 (0.0553)
−0.0323 (0.0576)
−0.1078 (0.0540)
−0.1186 (0.0731)
VIX -> VXEEM
−0.1825 (0.0730)
−0.0118 (0.0722)
−0.1592 (0.0714)
−0.1100 (0.0581)
−0.2377 (0.0845)
−0.0443 (0.0660)
−0.1134 (0.0494)
−0.1538 (0.0566)
−0.1516 (0.0605)
−0.1176 (0.0716)
Note. ETE,and SE denote effective transfer entropy estimate and standard error. AST means aggregate short term, and AMT also represents aggregate medium term. standard errors in parenthesis.,, and indicate significance at 10%, 5% and 1% levels respectively.
