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