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Title of Paper:Understanding stock market volatility: What is the role of US uncertainty?

Journal:North American Journal of Economics and Finance

Summary: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.

Discipline:Economics

First-Level Discipline:Applied Economics

Document Type:J

Issue:48

Page Number:582-590

Translation or Not:No

Included Journals:SSCI

Release Time:2020-05-13