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Dynamic responses of Standard and Poor's Regional Bank Index to the U.S. fear index, VIX
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Dynamic responses of Standard and Poor's Regional Bank Index to the U.S. fear index, VIX
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Journal Article
Dynamic responses of Standard and Poor's Regional Bank Index to the U.S. fear index, VIX
2021
Overview
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.
Publisher
MDPI,MDPI AG
