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.

中文翻译：

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VIX恐惧指数对国际股市的极端溢出

本研究分析了 1998 年至 2014 年 42 个国际股票市场在极端市场条件下 VIX 溢出对市场活动的影响。具体而言，尾部交叉依赖表明 VIX 的微小变化会显着影响极端市场条件下的全球市场活动。VIX 的影响是不对称的，这在看跌、高度波动和低交易量的市场中更为明显。此外，VIX 溢出对发达市场的回报和新兴市场的波动表现出更大的影响。就地理位置而言，VIX 溢出效应对欧洲回报和拉丁美洲波动的影响更为明显。