International Journal of Social Science & Economic Research
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Title:
GLOBAL MARKET UNCERTAINTY TRANSMISSION IN THE POST GLOBAL CRISIS PERIOD: AN EMPIRICAL EVALUATION USING VECTOR AUTOREGRESSIVE ANALYSIS

Authors:
Dr. Srividya. V, Ms. Susana. D

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1Dr. Srividya. V, 2 *Ms. Susana. D
1. Professor, PSG Institute of Management, PSG College of Technology, Coimbatore-641004, Tamil Nadu, India
2. Research Scholar, PSG Institute of Management, PSG College of Technology, Coimbatore-641004, Tamil Nadu, India.

MLA 8
V, Dr. Srividya., and Ms. Susana. D. "GLOBAL MARKET UNCERTAINTY TRANSMISSION IN THE POST GLOBAL CRISIS PERIOD: AN EMPIRICAL EVALUATION USING VECTOR AUTOREGRESSIVE ANALYSIS." Int. j. of Social Science and Economic Research, vol. 4, no. 7, July 2019, pp. 4787-4820, ijsser.org/more2019.php?id=367. Accessed July 2019.
APA
V, D., & D, M. (2019, July). GLOBAL MARKET UNCERTAINTY TRANSMISSION IN THE POST GLOBAL CRISIS PERIOD: AN EMPIRICAL EVALUATION USING VECTOR AUTOREGRESSIVE ANALYSIS. Int. j. of Social Science and Economic Research, 4(7), 4787-4820. Retrieved from ijsser.org/more2019.php?id=367
Chicago
V, Dr. Srividya., and Ms. Susana. D. "GLOBAL MARKET UNCERTAINTY TRANSMISSION IN THE POST GLOBAL CRISIS PERIOD: AN EMPIRICAL EVALUATION USING VECTOR AUTOREGRESSIVE ANALYSIS." Int. j. of Social Science and Economic Research 4, no. 7 (July 2019), 4787-4820. Accessed July, 2019. ijsser.org/more2019.php?id=367.

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Abstract:
Globalization and financial integration across global markets have increased degree of global stock market integration. It was evident from the global crisis that uncertainty in one market is reflected in other markets within short span of time. While previous literature has documented the dominance of the U.S. in the international markets during the global crisis period and precrisis period, this paper investigates the influence of the U.S. market during the post global crisis period. The transmission of market uncertainty across the eight global markets the U.S. Canada, Eurex, the U.K. Australia, Japan, Hong Kong and India is examined. Implied volatility index (VIX), the widely used measure for market uncertainty is used and Vector Autoregressive framework (VAR) is employed to observe the transmission across the implied volatility indices. The U.S. was found to be the leading source of uncertainty across all the global markets and Hong Kong was found to be the next dominant source of uncertainty among the global markets.

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