方彤
Associate Professor Supervisor of Master's Candidates
Name (Simplified Chinese):方彤
Name (Pinyin):Fang Tong
Date of Birth:1990-10-06
Date of Employment:2019-08-04
School/Department:经济学院
Education Level:Postgraduate (Doctoral)
Business Address:山东大学洪家楼校区2号楼318
Gender:Male
Degree:Doctoral Degree in Economics
Status:Employed
Whether on the job:1
Discipline:Finance
Academic Honor:
Honors and Titles:
2021-11-01 中国高校联盟首届中青年教师征文大赛二等奖
2019-06-01 中央财经大学首届“龙马学术之星”获得者
Hits:
Journal:North American Journal of Economics and Finance
Abstract:This study investigates the spillover of U.S. economic uncertainty on the stock market volatility of six industrialized and three emerging-market countries, using a bivariate GARCH-MIDAS model. We consider three different U.S. uncertainty indices: economic policy uncertainty (EPU), financial uncertainty (FU), and news-based implied uncertainty (NVIX). Our results indicate that EPU is positively associated with the industrialized countries’ stock market volatility; FU does not appropriately predict long-term stock market volatility; and NVIX is the more powerful predictor of market volatility, with higher NVIX leading to lower volatility. Our study highlights a new channel of market contagion and furthers our understanding of the sources of stock market volatility.
Indexed by:Journal paper
Discipline:Economics
First-Level Discipline:Applied Economics
Document Type:J
Issue:48
Page Number:582-590
Translation or Not:no
Included Journals:SSCI
