Role of economic policy uncertainty in the connectedness of cross-country stock market volatilities

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dc.citation.issue11
dc.citation.volume8
dc.contributor.authorHasan M
dc.contributor.authorNaeem MA
dc.contributor.authorArif M
dc.contributor.authorShahzad SJH
dc.contributor.authorNor SM
dc.date.accessioned2024-07-23T03:16:34Z
dc.date.available2024-07-23T03:16:34Z
dc.date.issued2020-11
dc.description.abstractThe implied volatility index is a forward-looking indicator of fear among stock market participants. We examine the extent to which the connectedness of fear among global stock markets is driven by the cross-country connectedness of economic policy uncertainty (EPU). We use data on stock market fear and EPU indices for 13 countries, which spans from January 2011 to December 2018. To measure the connectedness among stock market fear and EPU of our sample countries, we employ two connectedness models. A cross-sectional regression model is further employed to ascertain the extent to which EPU connectedness between two countries explains the connectedness of fear between their stock markets, while controlling for bilateral linkage and country-specific factors. We find that EPU connectedness between any two partner countries significantly drives the connectedness of fear between their stock markets. The driving potential not only holds for short-and long-term connectedness, but also after controlling for bilateral linkages (bilateral trade, geographical distance, common language) and country-specific (trade and financial openness of the transmitter country) factors indicating robustness in our results.
dc.description.confidentialfalse
dc.edition.editionNovember 2020
dc.format.pagination1-17
dc.identifier.citationHasan M, Naeem MA, Arif M, Shahzad SJH, Nor SM. (2020). Role of economic policy uncertainty in the connectedness of cross-country stock market volatilities. Mathematics. 8. 11. (pp. 1-17).
dc.identifier.doi10.3390/math8111904
dc.identifier.eissn2227-7390
dc.identifier.elements-typejournal-article
dc.identifier.number1904
dc.identifier.urihttps://mro.massey.ac.nz/handle/10179/70282
dc.languageEnglish
dc.publisherMDPI (Basel, Switzerland)
dc.publisher.urihttps://www.mdpi.com/2227-7390/8/11/1904
dc.relation.isPartOfMathematics
dc.rights(c) 2020 The Author/s
dc.rightsCC BY 4.0
dc.rights.urihttps://creativecommons.org/licenses/by/4.0/
dc.subjectfear connectedness
dc.subjecteconomic policy uncertainty
dc.subjectstock markets
dc.subjectbilateral linkages
dc.titleRole of economic policy uncertainty in the connectedness of cross-country stock market volatilities
dc.typeJournal article
pubs.elements-id460410
pubs.organisational-groupOther
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