Dynamic Co-Movements of Stock Market Returns, Implied Volatility and Policy Uncertainty
By Nikolaos Antonakakis, Ioannis Chatziantoniou, George Filis. 2013
527 citations recorded by the source corpus.
Subfields: Economics and Econometrics, Finance
View Paper: https://www.semanticscholar.org/paper/e9999f23a620480479983c95578ef06ce964fca5
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In Economics and Econometrics
- George Filis
- Stavros Degiannakis *
- Rangan Gupta
- Nikolaos Antonakakis
- Ioannis Chatziantoniou
- Vipin Arora
- Rustam Boldanov
- Sofia Panagiotakopoulou
In Finance
- George Filis
- Stavros Degiannakis *
- Gabriela Nodari
- Rangan Gupta
- Serdar Ongan
- Y. Klimova
- Jakob Stober
- Holger Fink
Citations in the corpus
- Dynamic spillovers of oil price shocks and economic policy uncertainty (2014, background): “Antonakakis et al. (2013) find that aggregate demand oil price shocks and US recessions affect negatively the dynamic correlations of stock market returns, implied volatility and the economic policy uncertainty index. Furthermore, uncertainty pertaining to economic policy decisions, regardless of it”
- The interactive relationship between the US economic policy uncertainty and BRIC stock markets (2016, background): “In sum, it is shown that the US EPU index is an increasing function of the US stock return volatility, whereas the US stock returns are a decreasing function of the US EPU index changes (see Antonakakis et al., 2013).”
- US Economic Policy Uncertainty and Co-Movements between Chinese and US Stock Markets (2017, unknown): “, the articles cited above) employ the EPU indexes developed by Baker et al. (2016), and so does the present paper. Following Li et al. (2015), we treat innovations in the EPU index as policy-induced shocks. While Li et al. (2015) consider stock-bond correlations within the US, our interest is in st”
- Coronavirus and Oil Price Crash (2020, unknown): “In fact, even the economic policy uncertainty represents a reliable cause of financial markets volatility as shown by Antonakakis et al. (2013), Li et al. (2019), Mei et al. (2018), Phan et al. (2020), Su et al., (2019), Tiwari et al. (2019), Zhenghui and Junhao (2019). 3 Data are extracted on March”
- Economic policy uncertainty and stock price crash risk (2019, background): “Antonakakis et al.(2013) indicate that a rise in policy uncertainty increases stock market return uncertainty. Brogarrd and Detzel (2015) find that EPU positively forecasts excess market returns. However, few literatures explore how economic policy uncertainty affects stock price crash risk. Stock p”
- Oil Prices and Stock Markets: A Review of the Theory and Empirical Evidence (2018, methodology): “2014; Gupta and Modise, 2013; Antonakakis et al., 2013; Abhyankar et al., 2013; Degiannakis et al., 2014; Kang and Ratti, 2013; Baumeister and Peersman, 2013; Basher et al., 2012). For instance, Basher et al. (2012) use the MSCI emerging stock market index as a proxy of emerging stock market perform”