Does the VIX Fear Index Effective on Global Gold Markets?

kübra saka ılgın, salim sercan sarı

Abstract


The impact of the international volatility index VIX called the fear indicator of investors on the global gold market has been subjected to a broad empirical investigation and various findings have been obtained. For this purpose, the long-term relationship among variables was analyzed by Johansen Cointegration Test, while the causality relation was analyzed by Granger Causality Test. In the analysis made with the monthly time series data of 31.12.2007-29.12.2017 period, variables affected each other in long-term interaction but there was no causality relation between them. The results show that the VIX index is a leading indicator for gold investors.

Keywords:

VIX Fear Index, Johansen Cointegration Test, Causality.



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