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Time-frequency quantile effect of global uncertainty on stock markets: evidence from wavelet decomposition

Author

Listed:
  • Yuan, Jiayuan
  • Zhu, Weineng
  • Huang, Zishan
  • Zhu, Huiming

Abstract

This study explores the time–frequency effect of the World Uncertainty Index (WUI) on the stock markets across quantile levels.We utilize wavelet decomposition and quantile regression to measure the time–frequency relationship between WUI and stock markets. Our empirical results are as follows. First, there exists a significant long-term Granger causality between WUI and stock markets. Second, the impacts of WUI on stock markets change with time-scales, the short term impacts being more intense than that of the other time scale. Third, there is significant asymmetric impacts of WUI on the stock markets. At extreme quantile levels, the absolute values of quantile regression coefficients become significantly larger relationship, indicating the relationship between the two becomes more pronounced. Overall, our findings provide a investors and policymakers with a more deeper perspective on dynamic market risk management.

Suggested Citation

  • Yuan, Jiayuan & Zhu, Weineng & Huang, Zishan & Zhu, Huiming, 2026. "Time-frequency quantile effect of global uncertainty on stock markets: evidence from wavelet decomposition," The North American Journal of Economics and Finance, Elsevier, vol. 81(C).
    • Handle: RePEc:eee:ecofin:v:81:y:2026:i:c:s1062940825001949
    DOI: 10.1016/j.najef.2025.102554
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    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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