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

This source preferred by George Filis

Authors: Antonakakis, N., Chatziantoniou, I. and Filis, G.

http://eprints.bournemouth.ac.uk/21270/

Journal: Economics Letters

Volume: 120

Issue: 1

Pages: 87-92

ISSN: 0165-1765

DOI: 10.1016/j.econlet.2013.04.004

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.

This source preferred by George Filis

Authors: Antonakakis, N., Chatziantoniou, I. and Filis, G.

http://eprints.bournemouth.ac.uk/21270/

Journal: Economics Letters

Volume: 120

Issue: 1

Pages: 87-92

DOI: 10.1016/j.econlet.2013.04.004

This data was imported from Scopus:

Authors: Antonakakis, N., Chatziantoniou, I. and Filis, G.

http://eprints.bournemouth.ac.uk/21270/

Journal: Economics Letters

Volume: 120

Issue: 1

Pages: 87-92

ISSN: 0165-1765

DOI: 10.1016/j.econlet.2013.04.004

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. © 2013 Elsevier B.V.

This data was imported from Web of Science (Lite):

Authors: Antonakakis, N., Chatziantoniou, I. and Filis, G.

http://eprints.bournemouth.ac.uk/21270/

Journal: ECONOMICS LETTERS

Volume: 120

Issue: 1

Pages: 87-92

ISSN: 0165-1765

DOI: 10.1016/j.econlet.2013.04.004

The data on this page was last updated at 04:43 on November 23, 2017.