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Dynamic co-movements of stock market returns, implied volatility and policy uncertainty

Author

Listed:
  • Antonakakis, Nikolaos
  • Chatziantoniou, Ioannis
  • Filis, George

Abstract

We examine time-varying correlations among stock market returns, implied volatility and policy uncertainty. Our findings suggest that correlations are indeed time-varying and sensitive to oil demand shocks and US recessions.

Suggested Citation

  • Antonakakis, Nikolaos & Chatziantoniou, Ioannis & Filis, George, 2013. "Dynamic co-movements of stock market returns, implied volatility and policy uncertainty," Economics Letters, Elsevier, vol. 120(1), pages 87-92.
  • Handle: RePEc:eee:ecolet:v:120:y:2013:i:1:p:87-92
    DOI: 10.1016/j.econlet.2013.04.004
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    References listed on IDEAS

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    More about this item

    Keywords

    Policy uncertainty; Dynamic correlation; Stock market return; Implied volatility; Oil price shock;

    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
    • E60 - Macroeconomics and Monetary Economics - - Macroeconomic Policy, Macroeconomic Aspects of Public Finance, and General Outlook - - - General
    • E66 - Macroeconomics and Monetary Economics - - Macroeconomic Policy, Macroeconomic Aspects of Public Finance, and General Outlook - - - General Outlook and Conditions
    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • G18 - Financial Economics - - General Financial Markets - - - Government Policy and Regulation

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