دانلود رایگان مقاله انگلیسی درک نوسانات بازار سهام: نقش عدم اطمینان ایالات متحده - الزویر 2018

ABSTRACT

This study investigates the spillover of U.S. economic uncertainty on the stock market volatility of six industrialized and three emerging-market countries, using a bivariate GARCH-MIDAS model. We consider three different U.S. uncertainty indices: economic policy uncertainty (EPU), financial uncertainty (FU), and news implied uncertainty (NVIX). Our results indicate that EPU is positively associated with the industrialized countries’ stock market volatility; FU does not appropriately predict long-term stock market volatility; and NVIX is the more powerful predictor of market volatility, with higher NVIX leading to lower volatility. Our study highlights a new channel of market contagion and furthers our understanding of the sources of stock market volatility.

5. Conclusion

This study investigates the impact of U.S. uncertainty on the stock market volatility of nine selected countries through a bivariate GARCH-MIDAS model. We consider three uncertainty indices: EPU, FU, and NVIX, which represent three different sources of uncertainty. Thus, the study contributes to market contagion and asset pricing literature from the perspective of uncertainty.

We clearly find that U.S. uncertainty proxies perform differently in anticipating long-term stock market volatility. First, U.S. EPU is positively associated with the stock market volatility of non-U.S. G7 countries, which underscores the economic policy interdependency among the G7 countries. U.S. EPU has the largest spillover effects on the UK and Japan. Second, FU is not an appropriate variable in predicting the stock market volatility of non-U.S. countries, as it does not have a significant impact on most countries. Third, in contrast to U.S. EPU, NVIX is negatively associated with stock market volatility and it is a more powerful measure of uncertainty in predicting stock market volatility in non-U.S. G7 countries. The insensitivity of emerging markets to NVIX comes from strong local market constraints and the proportion of professional investors in these markets. Our study implications can be useful to financial investors and hedgers who are continually looking to adjust their asset allocations while enhancing their understanding of U.S. uncertainty spillover.