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Sustainability 2018, 10(11), 4113; https://doi.org/10.3390/su10114113

Research on Sustainable Development of the Stock Market Based on VIX Index

School of Business, Northeast Normal University, Changchun 130117, China
Received: 28 September 2018 / Revised: 4 November 2018 / Accepted: 5 November 2018 / Published: 9 November 2018
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Abstract

The frequent occurrence of financial crises has made the dynamic linkage between international financial markets an important research topic. In the past, scholars mostly studied the correlation between financial markets directly, however ignored the impact of exogenous financial variables on financial markets. The stock market is an important part of the financial market and plays an important role in the overall economy. Information asymmetry is common and has a certain degree of impact on investors’ returns. However, many scholars believe that the problem of information asymmetry in China has seriously negatively impacted investors, forming an unsustainable state. At present, there are still many problems in the Chinese stock market, especially the stock market fraud, which brings great challenges to the sustainable development of the stock market. Based on the idea of the STCC model, it is assumed that the Copula parameter is affected by the exogenous variables and the time-varying dynamic Copula model-ST-VCopula model is established. Based on the model, the influence of market volatility (VIX index) on the stock market is explored and then the stock index data of several countries are empirically analyzed. The empirical results show that the VIX index has a significant impact on the linkage between stock markets. The VIX index is easy and more intuitive to obtain, providing another way for the dynamic linkage research between the market, which can provide investors with some guidance and advice when conducting financial activities such as diversification. View Full-Text
Keywords: VIX index; sustainable development; stock market VIX index; sustainable development; stock market
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Ruan, L. Research on Sustainable Development of the Stock Market Based on VIX Index. Sustainability 2018, 10, 4113.

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