Time-frequency domain analysis of investor fear and expectations in stock markets of BRIC economies
The purpose of this study is to provide insight into the lead-lag relationships between the BRIC stock index and its constituents. In addition, we assess the comovements between the US volatility index (VIX) as a measure of investor uncertainty and fear and stock returns of BRIC economies. Therefore...
| Main Authors: | , , , , , |
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| Format: | Article |
| Language: | English |
| Published: |
Elsevier
2021-10-01
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| Series: | Heliyon |
| Subjects: | |
| Online Access: | http://www.sciencedirect.com/science/article/pii/S2405844021023148 |