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High policy uncertainty and low implied market volatility: An academic puzzle?

Citations

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Cited by:

  1. Białkowski, Jędrzej & Wei, Xiaopeng, 2025. "Quality of political information and return predictability: Evidence from investor sentiment and risk aversion," Journal of Banking & Finance, Elsevier, vol. 177(C).
  2. Kundan Mukhia & Buddha Nath Sharma & Salam Rabindrajit Luwang & Md. Nurujjaman & Chittaranjan Hens & Suman Saha & Tanujit Chakraborty, 2025. "Early-Warning Signals of Political Risk in Stablecoin Markets: Human and Algorithmic Behavior Around the 2024 U.S. Election," Papers 2512.00893, arXiv.org.
  3. Liu, Wei & Garrett, Ian, 2023. "Regime-dependent effects of macroeconomic uncertainty on realized volatility in the U.S. stock market," Economic Modelling, Elsevier, vol. 128(C).
  4. Ben Jabeur, Sami & Dhifaoui, Zouhaier & Bakkar, Yassine & Ballouk, Houssein, 2025. "‘Crypto president’: Do narrative political signals drive cryptocurrency returns?," Finance Research Letters, Elsevier, vol. 78(C).
  5. Lu Yang, 2025. "From Economic Policy Uncertainty to Implied Market Volatility: Nothing to Fear?," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 45(2), pages 143-157, February.
  6. Liu, Zhenhua & Zhang, Huiying & Ding, Zhihua & Lv, Tao & Wang, Xu & Wang, Deqing, 2022. "When are the effects of economic policy uncertainty on oil–stock correlations larger? Evidence from a regime-switching analysis," Economic Modelling, Elsevier, vol. 114(C).
  7. Wang, Zhuqing & Wang, Xinyu & Cheng, Qiuying & Shi, Song, 2024. "Heterogeneous impact of economic and political uncertainty on green bond volatility: Evidence from the MRS-GARCH-MIDAS-Skewed T model," International Review of Financial Analysis, Elsevier, vol. 95(PB).
  8. Sangyup Choi & Jeeyeon Phi, 2026. "Impact of Uncertainty Shocks on Income and Wealth Inequality," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 58(3), pages 821-852, April.
  9. Aït-Sahalia, Yacine & Matthys, Felix & Osambela, Emilio & Sircar, Ronnie, 2025. "When uncertainty and volatility are disconnected: Implications for asset pricing and portfolio performance," Journal of Econometrics, Elsevier, vol. 248(C).
  10. He, Yun & Li, Wei & Tan, Xiaofen & Sun, Yuchen, 2025. "Economic policy uncertainty, digital transformation, and bank systemic risk," International Review of Economics & Finance, Elsevier, vol. 102(C).
  11. Pham, Linh & Karim, Sitara & Naeem, Muhammad Abubakr & Long, Cheng, 2022. "A tale of two tails among carbon prices, green and non-green cryptocurrencies," International Review of Financial Analysis, Elsevier, vol. 82(C).
  12. Gong, Xiao-Li & Li, Ye & Xiong, Xiong, 2025. "Tail risk interconnectedness between cryptocurrency and clean energy markets under geopolitical conflicts," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 668(C).
  13. Hammed, Yinka S & Salisu, Afees & Akume, Michael, 2025. "The international spillover effects of US Quality of Political Signals: A Global VAR approach," MPRA Paper 123530, University Library of Munich, Germany.
  14. Shuhui Zhu & Fenglin Wu & Yufan Wan & Yanshuang Li, 2026. "The Chaos of Climate Ambitions: Climate Policy Uncertainty and the Volatility Risk in Commodity Markets," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 46(1), pages 197-220, January.
  15. Wagner, Moritz & Wei, Xiaopeng, 2024. "Ambiguous investor sentiment," Finance Research Letters, Elsevier, vol. 67(PA).
  16. Caporale, Guglielmo Maria & Kyriacou, Kyriacos & Spagnolo, Nicola, 2023. "Aggregate insider trading and stock market volatility in the UK," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 89(C).
  17. Yang, Lu, 2025. "Economic policy uncertainty and foreign exchange market implied volatility: A complex partial wavelet coherence approach," Journal of International Money and Finance, Elsevier, vol. 156(C).
  18. Zhongbo Jing & Shiyu Lu & Yang Zhao & Jun Zhou, 2023. "Economic policy uncertainty, corporate investment decisions and stock price crash risk: Evidence from China," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 63(S1), pages 1477-1502, April.
  19. Zhang, Hailiang & Li, Yao & Wang, Haijun & Yin, Lei, 2025. "Expansion or retrenchment: Corporate investment reactions to external security risks," Research in International Business and Finance, Elsevier, vol. 73(PA).
  20. Bouteska, Ahmed & Sharif, Taimur & Hajek, Petr & Abedin, Mohammad Zoynul, 2024. "Aversion and ambiguity: On the robustness of the macroeconomic uncertainty measure framework," Technological Forecasting and Social Change, Elsevier, vol. 203(C).
  21. Christos Floros & Emilios Galariotis & Konstantinos Gkillas & Efstathios Magerakis & Constantin Zopounidis, 2024. "Time-varying firm cash holding and economic policy uncertainty nexus: a quantile regression approach," Annals of Operations Research, Springer, vol. 341(2), pages 859-895, October.
  22. Afees A. Salisu & Riza Demirer & Rangan Gupta, 2023. "Policy uncertainty and stock market volatility revisited: The predictive role of signal quality," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 42(8), pages 2307-2321, December.
  23. Mickenzie Bass & Aakash Kalyani, 2025. "Real-Time Discovery of Corporate Risks," Review, Federal Reserve Bank of St. Louis, vol. 107(16), pages 1-17, October.
  24. Qing Bai & Cathy W. S. Chen & Shaonan Tian, 2025. "The Impact of News-Based and Twitter-Based Economic Uncertainty on Realized Volatility: Asymmetric Effect with Threshold Quantile ARX Model," Computational Economics, Springer;Society for Computational Economics, vol. 66(5), pages 4275-4302, November.
  25. Chen, Rongda & Tao, Kerun & Jin, Chenglu & Zhang, Jiacheng & Zhang, Shuonan, 2025. "Navigating uncertainty: The impact of economic policy on corporate data asset allocation," International Review of Economics & Finance, Elsevier, vol. 97(C).
  26. Hao, Xianfeng & Wang, Yudong & Wu, Chongfeng & Wu, Liangyu, 2024. "Oil information uncertainty and aggregate market returns: A natural experiment based on satellite data," Journal of Financial Markets, Elsevier, vol. 70(C).
  27. Han, Yingwei & Li, Jie, 2023. "The impact of global economic policy uncertainty on portfolio optimization: A Black–Litterman approach," International Review of Financial Analysis, Elsevier, vol. 86(C).
  28. Amanjot Singh & Harminder Singh & Venura Welagedara, 2024. "Aggregate uncertainty, information acquisition, and analyst stock recommendations," International Review of Finance, International Review of Finance Ltd., vol. 24(4), pages 604-640, December.
  29. Yun‐Shi Dai & Peng‐Fei Dai & Wei‐Xing Zhou, 2025. "Geopolitical Risk and the Volatility of the International Grain Futures Market," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 45(10), pages 1757-1794, October.
  30. Tselika, Kyriaki & Tselika, Maria & Demetriades, Elias, 2025. "Policy uncertainty and volatility spillovers in European electricity markets: Implications for market dynamics and innovation," Journal of Commodity Markets, Elsevier, vol. 40(C).
  31. Naeem, Muhammad Abubakr & Senthilkumar, Arunachalam & Arfaoui, Nadia & Mohnot, Rajesh, 2024. "Mapping fear in financial markets: Insights from dynamic networks and centrality measures," Pacific-Basin Finance Journal, Elsevier, vol. 85(C).
  32. Hull, Tyler & McLemore, Ping & Onuoha, Uchenna C., 2026. "Individual ethics and economic policy uncertainty," Emerging Markets Review, Elsevier, vol. 71(C).
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