Hossein Asgharian
Professor
The effect of uncertainty on stock market volatility and correlation
Författare
Summary, in English
In this study, we use an extension of the heterogeneous autoregressive model to investigate the influence of time-varying risk aversion and macroeconomic, financial, and economic policy uncertainty measures on stock market volatility and correlation. Based on the findings, there is a stronger predictive ability of these variables at the monthly frequency than at the daily frequency. We also highlight the importance of risk aversion, which, alongside fundamental factors, reflects investor sentiment in predicting stock market volatility. Meanwhile, although uncertainty variables, such as economic uncertainty and financial uncertainty, are important, the widely used variable, economic policy uncertainty, is not helpful for predicting stock market volatility. Moreover, there is evidence of higher economic value and reduced portfolio risk when including risk aversion and economic uncertainty in international portfolio analysis.
Avdelning/ar
- Nationalekonomiska institutionen
Publiceringsår
2023
Språk
Engelska
Publikation/Tidskrift/Serie
Journal of Banking and Finance
Volym
154
Länkar
Dokumenttyp
Artikel i tidskrift
Förlag
Elsevier
Ämne
- Economics
Nyckelord
- Economic uncertainty
- HAR model
- International portfolio analysis
- Stock market correlation
- Stock market volatility
Status
Published
ISBN/ISSN/Övrigt
- ISSN: 1872-6372