We examine linkages between the time-frequency dynamics of fear (VIX) connectedness across global stock markets and alternative asset markets. To this end, we utilize Diebold and Yilmaz, International Journal of Forecasting, 2012, 28, 57–66; Diebold and Yilmaz, Journal of Econometrics, 2014, 182, 119–134; and Baruník and Křehlík, Journal of Financial Econometrics, 2018, 16, 271–296 connectedness methods to measure the total, short-, medium- and long-term connectedness. We subsequently use the rolling-window wavelet correlation framework of Polanco-Martínez et al. Physica A: Statistical Mechanics and Its Applications, 2018, 490, 1211–1227 to investigate the dynamic relationship structure among global equity market fear and fear in alternative asset markets, namely oil (OVX), gold (GVZ), currency (EVZ), and bond (TYNVI). We find that OVX drives the underlying VIX connectedness of the global equity markets during stress periods. The results also suggest the prospects of a reverse hedge that is driven by GVZ when the demand for gold intensifies. Furthermore, there are structural shifts in EVZ following Brexit, highlighting a negative relationship with the VIX connectedness. Finally, we find that the VIX connectedness typically moves in the opposite direction to the TYNVI. These results are insightful in realizing vulnerable stock markets' behaviour and explaining investors' sentiments and their shifts over time in asset allocations.

中文翻译：

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股票与另类资产的恐惧关联性之间的时频动态

我们研究了全球股票市场和另类资产市场的恐惧时频动态 (VIX) 连通性之间的联系。为此，我们利用了 Diebold 和 Yilmaz, International Journal of Forecasting , 2012, 28, 57–66；Diebold 和 Yilmaz，《计量经济学杂志》，2014 年，182，119–134；Baruník 和 Křehlík, Journal of Financial Econometrics , 2018, 16, 271–296 connectivity methods to measure the total, short, medium- and long-term connectivity. 我们随后使用 Polanco-Martínez 等人的滚动窗口小波相关框架。物理学 A：统计力学及其应用, 2018, 490, 1211–1227 研究全球股市恐惧与另类资产市场恐惧之间的动态关系结构，即石油 (OVX)、黄金 (GVZ)、货币 (EVZ) 和债券 (TYNVI)。我们发现 OVX 在压力时期驱动全球股票市场的潜在 VIX 连通性。结果还表明，当黄金需求增强时，由 GVZ 驱动的反向对冲的前景。此外，英国退欧后 EVZ 发生结构性变化，突显出与 VIX 连通性的负相关关系。最后，我们发现 VIX 连通性通常与 TYNVI 的移动方向相反。这些结果对于了解脆弱的股票市场行为和解释投资者的情绪以及他们在资产配置中随时间的变化具有深刻的见解。