期刊
NORTH AMERICAN JOURNAL OF ECONOMICS AND FINANCE
卷 48, 期 -, 页码 582-590出版社
ELSEVIER SCIENCE INC
DOI: 10.1016/j.najef.2018.07.014
关键词
US uncertainty; GARCH-MIDAS model; Stock market volatility; Market contagion
资金
- National Natural Science Foundation of China [71671193, 71401193, 71473279]
- National Social Science Fund of China [15ZDC024]
- Program for Innovation Research in Central University of Finance and Economics
- Supporting Program of Key Topics for Ph.D. students of CUFE [2016-ZDXT01]
This study investigates the spillover of U.S. economic uncertainty on the stock market volatility of six industrialized and three emerging-market countries, using a bivariate GARCH-MIDAS model. We consider three different U.S. uncertainty indices: economic policy uncertainty (EPU), financial uncertainty (FU), and news implied uncertainty (NVIX). Our results indicate that EPU is positively associated with the industrialized countries' stock market volatility; FU does not appropriately predict long-term stock market volatility; and NVIX is the more powerful predictor of market volatility, with higher NVIX leading to lower volatility. Our study highlights a new channel of market contagion and furthers our understanding of the sources of stock market volatility.
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