Abstract:

The success of an investment depends on the return it will provide and the risk to be suffered for that return. Therefore, when the investment decision is made, the risk and return must be determined. However, it is increasingly difficult to identify risk factors that can affect the value of the investment. Investors need to follow local indicators as well as regional and global risk indicators. On the other hand, the relationships between the exchanges can also be similar to the relationships between the risk indicators. In addition to the risk indicators affecting the financial assets investors are therefore necessary to identify the relationships between these indicators and to take into account these relationships in their forecasts. The main objective of the study in this context is to analyze the relationships between VIX, EURO STOXX 50, CBOE EuroCurrency, CBOE Gold and CBOE Oil Playing Index, which are called Financial Fear Indices, through a frequency causality test in Breitung & Candelon (2006). The empirical results have indicated that there are causal relationships in different frequencies between the treated fear indicators.