Role of Economic Policy Uncertainty in the Connectedness of Cross-Country Stock Market Volatilities

Role of Economic Policy Uncertainty in the Connectedness of Cross-Country Stock Market Volatilities

The 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...

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Bibliographic Details
Main Authors: Mudassar Hasan, Muhammad Abubakr Naeem, Muhammad Arif, Syed Jawad Hussain Shahzad, Safwan Mohd Nor
Format: Article
Language:English
Published: MDPI AG 2020-10-01
Series:Mathematics
Subjects:
fear connectedness
economic policy uncertainty
stock markets
bilateral linkages
Online Access:https://www.mdpi.com/2227-7390/8/11/1904

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