Dynamic co-movements of stock market returns, implied volatility and policy uncertainty.

Antonakakis, N., Chatziantoniou, I. and Filis, G., 2013. Dynamic co-movements of stock market returns, implied volatility and policy uncertainty. Economics Letters, 120 (1), 87 - 92 .

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DOI: 10.1016/j.econlet.2013.04.004

Abstract

We examine time-varying correlations among stock market returns, implied volatility and policy uncertainty. Our findings suggest that correlations are indeed time-varying and sensitive to oil demand shocks and US recessions. Highlights: We examine dynamic correlations of stock market returns, implied volatility and policy uncertainty. Dynamic correlations reveal heterogeneous patterns during US recessions. Aggregate demand oil price shocks and US recessions affect dynamic correlations. A rise in the volatility of policy uncertainty dampens stock market returns and increases uncertainty. Increases in stock market volatility reduce stock market returns and increase uncertainty.

Item Type:Article
ISSN:0165-1765
Uncontrolled Keywords:Policy uncertainty, dynamic correlation, stock market return, implied volatility, oil price shock
Subjects:UNSPECIFIED
Group:Business School
ID Code:21270
Deposited By: Unnamed user with email symplectic@symplectic
Deposited On:16 Jun 2014 13:33
Last Modified:16 Jun 2014 14:23

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