论文成果
Understanding stock market volatility: What is the role of US uncertainty?
  • 发表刊物:
    North American Journal of Economics and Finance
  • 摘要:
    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.
  • 论文类型:
    期刊论文
  • 学科门类:
    经济学
  • 一级学科:
    应用经济学
  • 文献类型:
    J
  • 期号:
    48
  • 页面范围:
    582-590
  • 是否译文:
  • 收录刊物:
    SSCI

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