Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/239530 
Year of Publication: 
2021
Citation: 
[Journal:] Journal of Risk and Financial Management [ISSN:] 1911-8074 [Volume:] 14 [Issue:] 3 [Publisher:] MDPI [Place:] Basel [Year:] 2021 [Pages:] 1-18
Publisher: 
MDPI, Basel
Abstract: 
This study examines the reaction of the Standard and Poor's Regional Bank Index (SPRB) to the U.S. equity market fear index (i.e., the Chicago Board of Trade Volatility Index [VIX]). The VIX is designed to perform as a leading indicator of the volatility in equity markets. However, practitioners observe many periods of divergence between the VIX and S&P 500. Our paper examines the daily data for the period of 2009 through 2019. We show that once the effects of consumer confidence and capacity utilization are accounted for, there is a negative association between the VIX and regional bank performance.
Subjects: 
volatility
Kalman filter
spectral analysis
Standard and Poor's Regional Bank Index
Persistent Identifier of the first edition: 
Creative Commons License: 
cc-by Logo
Document Type: 
Article

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