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Uncertainty matters in US financial information spillovers: Evidence from a directed acyclic graph approach

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  • Su, Zhi
  • Liu, Peng
  • Fang, Tong

Abstract

We investigate the role of uncertainty in US financial information spillovers by introducing uncertainty measures into financial market networks from January 1986 to April 2020. A directed acyclic graph (DAG) approach is utilized to determine the network structure and reveal the contemporaneous causalities among financial markets and uncertainty. We empirically show that uncertainty matters in US financial information spillovers, and it behaves differently between return and volatility spillovers. News-based implied volatility (NVIX), capturing investors’ perception of future uncertainty, is an important linkage of financial returns, acting as an exogenous shock to financial volatility spillovers. A subsample analysis indicates that financial uncertainty (FU) matters before the financial crisis, and its role is replaced by NVIX after the crisis. We provide a new perspective to understand the information diffusion patterns of US financial markets, which has meaningful implications for investors who adjust their investment allocations according to spillovers and for policymakers who could rely on NVIX as an important indicator of financial contagions.

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  • Su, Zhi & Liu, Peng & Fang, Tong, 2022. "Uncertainty matters in US financial information spillovers: Evidence from a directed acyclic graph approach," The Quarterly Review of Economics and Finance, Elsevier, vol. 84(C), pages 229-242.
  • Handle: RePEc:eee:quaeco:v:84:y:2022:i:c:p:229-242
    DOI: 10.1016/j.qref.2022.01.007
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    More about this item

    Keywords

    Economic policy uncertainty; News-based implied volatility; Information spillovers; DAG; Contemporaneous causality;
    All these keywords.

    JEL classification:

    • C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
    • D85 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Network Formation
    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)

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