Extreme spillovers of VIX fear index to international equity markets

  • Massaporn Cheuathonghua
  • Chaiyuth PadungsaksawasdiEmail author
  • Pattana Boonchoo
  • Jittima Tongurai


This study analyzes the impact of VIX spillovers on market activities during extreme market conditions in 42 international equity markets from 1998 to 2014. Specifically, tail cross-dependence suggests that a small change in VIX significantly influences global market activities during extreme market conditions. The impact of VIX is asymmetric, which is more pronounced in bearish, highly volatile, and low trading volume markets. Moreover, VIX spillovers exhibit a stronger impact on returns in developed markets and on volatility in emerging markets. In terms of geographical location, the impact of VIX spillovers is more pronounced on returns in Europe and on volatility in Latin America. These findings indicate that international investors can potentially benefit from international portfolio diversification and can serve as useful guidance to policymakers in designing appropriate policies.


VIX Tail distribution Extreme market conditions International equity market 

JEL Classification

F36 G15 F3 



Special thanks go to Markus Schmid (the editor), the anonymous referee, Ben R. Marshall, Bart Frijns, Pornchai Chunchinda, Seksak Jumroenvong, Tatre Jantarakolica, and Termkiat Kanchanapoom for their suggestions and comments. We also thank Maria E. De Boyrie (the discussant) and the participants of the 2016 Annual Auckland Finance Meeting.


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Copyright information

© Swiss Society for Financial Market Research 2019

Authors and Affiliations

  • Massaporn Cheuathonghua
    • 1
  • Chaiyuth Padungsaksawasdi
    • 1
    Email author
  • Pattana Boonchoo
    • 2
  • Jittima Tongurai
    • 3
  1. 1.Department of Finance, Thammasat Business SchoolThammasat UniversityBangkokThailand
  2. 2.Department of Marketing, Thammasat Business SchoolThammasat UniversityBangkokThailand
  3. 3.Graduate School of Business AdministrationKobe UniversityKobeJapan

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