The role of global economic policy uncertainty in long-run volatilities and correlations of U.S. industry-level stock returns and crude oil.
We investigate how Global Economic Policy Uncertainty (GEPU) drives the long-run components of volatilities and correlations in crude oil and U.S. industry-level stock markets. Using the modified generalized autoregressive conditional heteroskedasticity mixed data sampling (GARCH-MIDAS) and dynamic...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
Public Library of Science (PLoS)
2018-01-01
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| Series: | PLoS ONE |
| Online Access: | http://europepmc.org/articles/PMC5805266?pdf=render |
| _version_ | 1818008899750461440 |
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| author | Honghai Yu Libing Fang Boyang Sun |
| author_facet | Honghai Yu Libing Fang Boyang Sun |
| author_sort | Honghai Yu |
| collection | DOAJ |
| description | We investigate how Global Economic Policy Uncertainty (GEPU) drives the long-run components of volatilities and correlations in crude oil and U.S. industry-level stock markets. Using the modified generalized autoregressive conditional heteroskedasticity mixed data sampling (GARCH-MIDAS) and dynamic conditional correlation mixed data sampling (DCC-MIDAS) specifications, we find that GEPU is positively related to the long-run volatility of Financials and Consumer Discretionary industries; however, it is negatively related to Information Technology, Materials, Telecommunication Services and Energy. Unlike the mixed role of GEPU in the long-run volatilities, the long-run correlations are all positively related to GEPU across the industries. Additionally, the rankings of the correlations of Energy and Materials are time-invariant and classified as high, with the little exception of the latter. The Consumer Staples industry is time-invariant in the low-ranking group. Our results are helpful to policy makers and investors with long-term concerns. |
| first_indexed | 2024-04-14T05:35:12Z |
| format | Article |
| id | doaj.art-f06e1b1a9459473ea2d7639cc60f8df3 |
| institution | Directory Open Access Journal |
| issn | 1932-6203 |
| language | English |
| last_indexed | 2024-04-14T05:35:12Z |
| publishDate | 2018-01-01 |
| publisher | Public Library of Science (PLoS) |
| record_format | Article |
| series | PLoS ONE |
| spelling | doaj.art-f06e1b1a9459473ea2d7639cc60f8df32022-12-22T02:09:41ZengPublic Library of Science (PLoS)PLoS ONE1932-62032018-01-01132e019230510.1371/journal.pone.0192305The role of global economic policy uncertainty in long-run volatilities and correlations of U.S. industry-level stock returns and crude oil.Honghai YuLibing FangBoyang SunWe investigate how Global Economic Policy Uncertainty (GEPU) drives the long-run components of volatilities and correlations in crude oil and U.S. industry-level stock markets. Using the modified generalized autoregressive conditional heteroskedasticity mixed data sampling (GARCH-MIDAS) and dynamic conditional correlation mixed data sampling (DCC-MIDAS) specifications, we find that GEPU is positively related to the long-run volatility of Financials and Consumer Discretionary industries; however, it is negatively related to Information Technology, Materials, Telecommunication Services and Energy. Unlike the mixed role of GEPU in the long-run volatilities, the long-run correlations are all positively related to GEPU across the industries. Additionally, the rankings of the correlations of Energy and Materials are time-invariant and classified as high, with the little exception of the latter. The Consumer Staples industry is time-invariant in the low-ranking group. Our results are helpful to policy makers and investors with long-term concerns.http://europepmc.org/articles/PMC5805266?pdf=render |
| spellingShingle | Honghai Yu Libing Fang Boyang Sun The role of global economic policy uncertainty in long-run volatilities and correlations of U.S. industry-level stock returns and crude oil. PLoS ONE |
| title | The role of global economic policy uncertainty in long-run volatilities and correlations of U.S. industry-level stock returns and crude oil. |
| title_full | The role of global economic policy uncertainty in long-run volatilities and correlations of U.S. industry-level stock returns and crude oil. |
| title_fullStr | The role of global economic policy uncertainty in long-run volatilities and correlations of U.S. industry-level stock returns and crude oil. |
| title_full_unstemmed | The role of global economic policy uncertainty in long-run volatilities and correlations of U.S. industry-level stock returns and crude oil. |
| title_short | The role of global economic policy uncertainty in long-run volatilities and correlations of U.S. industry-level stock returns and crude oil. |
| title_sort | role of global economic policy uncertainty in long run volatilities and correlations of u s industry level stock returns and crude oil |
| url | http://europepmc.org/articles/PMC5805266?pdf=render |
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