publication . Other literature type . Article . 2013

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

Antonakakis, N.; Chatziantoniou, I.; Filis, George;
  • Published: 01 Jul 2013
  • Publisher: Elsevier BV
  • Country: United Kingdom
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 increas...
Subjects
Medical Subject Headings: health care economics and organizations
free text keywords: Economics and Econometrics, Finance, Recession, media_common.quotation_subject, media_common, Economics, Implied volatility, Volatility smile, Forward volatility, Oil demand, Volatility risk premium, Financial economics, Stock market
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