Figures & data
Table 1. This table shows the countries used in this study along with respective market indices, VIX, a proxy for risk-free rate considered for each
Table 2. The table shows the total number of observations, observations during the bull months taken together and that during the bear months taken together. Bull and bear months are defined based on three classification approaches as detailed in the text. Here we provide the information for only one of them (Bhardwaj and Brooks,1993 for the sake of brevity). The period chosen for each country is 2013 to 2019 which is approximately 1250 daily observations for each country. However, we use a common time length for each country, hence only the intersection of trading days across each country is used which comes out to be 1000
Table 3. Correlation coefficients between Return and VIX
Table 4. This table shows the pooled regression results based on the following model (on 1% winsorized sample)
Table 5. TGARCH analysis for asymmetry
Table 6. Granger causality test results
Table 7. Robustness test 1: Regression models on alternate bull-bear classification schemes
Table 8. Robustness test 2: Regression models on 5% winsorized sample
Table 9. Robustness test 1: Causality tests with alternate approaches for bull-bear market classification
Table 10. Robustness test 2: Causality tests with 5% winsorized sample
Table 11. TGARCH Analysis for Asymmetry Winsorized
Table 12. Asymmetry analysis Countrywise
Table 13. Asymmetry analysis Countrywise Bull
Table 14. Asymmetry analysis countrywise bear
Table 15. Causality analysis country wise
Table 16. Causality analysis country wise