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

被引：384

作者：

Antonakakis, Nikolaos ^{[1
]}

Chatziantoniou, Ioannis ^{[1
]}

Filis, George ^{[2
]}

机构：

[1] Univ Portsmouth, Dept Econ & Finance, Portsmouth Business Sch, Portsmouth PO1 3DE, Hants, England

[2] Bournemouth Univ, Accounting Finance & Econ Dept, Bournemouth BH8 8EB, Dorset, England

来源：

ECONOMICS LETTERS | 2013年 / 120卷 / 01期

关键词：

Policy uncertainty; Dynamic correlation; Stock market return; Implied volatility; Oil price shock; CRASHES; INVESTMENT; BUSINESS; SHOCKS;

D O I：

10.1016/j.econlet.2013.04.004

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

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. (C) 2013 Elsevier B.V. All rights reserved.

引用

页码：87 / 92

页数：6

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