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Understanding stock market volatility: What is the role of U.S. uncertainty?
16 references·10 citing·47 second hop
Understanding stock market volatility: What is the role of U.S. uncertainty? (2018)Understanding stock market volatility: Wh…Measuring Economic Policy Uncertainty* (2016)Measuring Economic Policy Unc…Measuring Uncertainty (2015)Measuring UncertaintyDoes Academic Research Destroy Stock Return Predictability? (2015)Does Academic Research Destro…Stock Market Volatility and Macroeconomic Fundamentals (2012)Stock Market Volatility and M…MIDAS Regressions: Further Results and New Directions (2007)MIDAS Regressions: Further Re…Market Integration and Contagion (2005)Market Integration and Contag…Comovement (2004)ComovementNo Contagion, Only Interdependence: Measuring Stock Market Comovements (2002)No Contagion, Only Interdepen…Extreme Correlation of International Equity Markets (2001)Extreme Correlation of Intern…Time‐Varying World Market Integration (1995)Time‐Varying World Market Int…The World Price of Covariance Risk (1991)The World Price of Covariance…Transmission of Volatility between Stock Markets (1990)Transmission of Volatility be…Correlations in Price Changes and Volatility across International Stock Markets (1990)Correlations in Price Changes…Why Does Stock Market Volatility Change Over Time? (1989)Why Does Stock Market Volatil…Transmission of Volatility Between Stock Markets (1989)Transmission of Volatility Be…Business conditions and expected returns on stocks and bonds (1989)Business conditions and expec…Google search trends and stock markets: Sentiment, attention or uncertainty? (2023)Google search trends and stoc…Uncertainties and green bond markets: Evidence from tail dependence (2022)Uncertainties and green bond …Dynamic risk spillover among crude oil, economic policy uncertainty and Chinese financial sectors (2022)Dynamic risk spillover among …Political uncertainty, COVID-19 pandemic and stock market volatility transmission (2021)Political uncertainty, COVID-…The inflation hedging properties of gold, stocks and real estate: A comparative analysis (2020)The inflation hedging propert…Pandemics and the emerging stock markets (2020)Pandemics and the emerging st…How do economic policy uncertainties affect stock market volatility? Evidence from G7 countries (2020)How do economic policy uncert…Asymmetric volatility spillovers between economic policy uncertainty and stock markets: Evidence from China (2020)Asymmetric volatility spillov…Are industry‐level indicators more helpful to forecast industrial stock volatility? Evidence from Chinese manufacturing purchasing managers index (2020)Are industry‐level indicators…Economic policy uncertainty and exchange rates in emerging markets: Short and long runs evidence (2019)Economic policy uncertainty a…The Behavior of Stock-Market Prices (1965)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)Fundamentals and Stock Returns in Japan (1991)Asymmetric Volatility and Risk in Equity Markets (2000)An Intertemporal Capital Asset Pricing Model (1973)The arbitrage theory of capital asset pricing (1976)The relationship between return and market value of common stocks (1981)Common risk factors in the returns on stocks and bonds (1993)Industry costs of equity (1997)Illiquidity and stock returns: cross-section and time-series effects (2002)Stock return variances (1986)Mean reversion in stock prices (1988)Emerging equity market volatility (1997)Trying to Explain Home Bias in Equities and Consumption (1999)A Rational Expectations Model of Financial Contagion (2002)Extreme Values, Regular Variation and Point Processes (1987)Modelling Extremal Events (1997)International Asset Allocation With Regime Shifts (2002)Asymmetric Dynamics in the Correlations of Global Equity and Bond Returns (2006)MODELLING ASYMMETRIC EXCHANGE RATE DEPENDENCE* (2006)Risk, Return, and Equilibrium: Empirical Tests (1973)The Cross-Section of Expected Stock Returns (1992)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)Mispricing Factors (2016)Choosing factors (2018)Replicating Anomalies (2018)Do Stock Prices Move Too Much to be Justified by Subsequent Changes in Dividends? (1980)Expected stock returns and volatility (1987)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)ARCH modeling in finance (1992)The Cross‐Section of Volatility and Expected Returns (2006)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle (1989)Foreign Speculators and Emerging Equity Markets (2000)Does financial liberalization spur growth? (2005)The Role of Monetary Policy (1995)The Impact of Uncertainty Shocks (2009)COVID-19 pandemic, oil prices, stock market, geopolitical risk and policy uncertainty nexus in the US economy: Fresh evidence from the wavelet-based approach (2020)The Unprecedented Stock Market Reaction to COVID-19 (2020)Measuring Geopolitical Risk (2022)Postwar U.S. Business Cycles: An Empirical Investigation (1997)Policy Uncertainty and Corporate Investment (2015)COVID-Induced Economic Uncertainty (2020)Measuring Financial Asset Return and Volatility Spillovers, with Application to Global Equity Markets (2008)Better to give than to receive: Predictive directional measurement of volatility spillovers (2011)
this work references cited by second hop

References

  • 2016Measuring Economic Policy Uncertainty*12,311 cited
  • 2002No Contagion, Only Interdependence: Measuring Stock Market Comovements4,647 cited
  • 1989Business conditions and expected returns on stocks and bonds3,934 cited
  • 1989Why Does Stock Market Volatility Change Over Time?3,433 cited
  • 2015Measuring Uncertainty2,908 cited
  • 2001Extreme Correlation of International Equity Markets2,608 cited
  • 1995Time‐Varying World Market Integration2,152 cited
  • 1990Correlations in Price Changes and Volatility across International Stock Markets1,913 cited
  • 1990Transmission of Volatility between Stock Markets1,588 cited
  • 2015Does Academic Research Destroy Stock Return Predictability?1,563 cited
  • 1989Transmission of Volatility Between Stock Markets1,516 cited
  • 1991The World Price of Covariance Risk1,139 cited
  • 2012Stock Market Volatility and Macroeconomic Fundamentals1,122 cited
  • 2005Market Integration and Contagion1,061 cited
  • 2007MIDAS Regressions: Further Results and New Directions1,003 cited
  • 2004Comovement929 cited

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Cited by

  • 2020The inflation hedging properties of gold, stocks and real estate: A comparative analysis93 cited
  • 2020Pandemics and the emerging stock markets90 cited
  • 2019Economic policy uncertainty and exchange rates in emerging markets: Short and long runs evidence86 cited
  • 2020Asymmetric volatility spillovers between economic policy uncertainty and stock markets: Evidence from China86 cited
  • 2020How do economic policy uncertainties affect stock market volatility? Evidence from G7 countries82 cited
  • 2022Dynamic risk spillover among crude oil, economic policy uncertainty and Chinese financial sectors80 cited
  • 2020Are industry‐level indicators more helpful to forecast industrial stock volatility? Evidence from Chinese manufacturing purchasing managers index56 cited
  • 2021Political uncertainty, COVID-19 pandemic and stock market volatility transmission55 cited
  • 2023Google search trends and stock markets: Sentiment, attention or uncertainty?54 cited
  • 2022Uncertainties and green bond markets: Evidence from tail dependence47 cited