Do economic policy uncertainty indices matter in joint volatility cycles between U.S. and Japanese stock markets?

Kuang-Liang Chang

Finance Research Letters, 2022, vol. 47, issue PA

Abstract: This research develops an endogenous Markov-switching interdependent mechanism with volatility persistence and interdependent correlations to analyze synchronous and asynchronous volatility cycles between the U.S. and Japanese stock markets and to investigate the impacts of economic policy uncertainty indices on volatility cycle dynamics. Empirical results show that: (i) the joint behavior switches between synchronous and asynchronous patterns; (ii) there is evidence for an asymmetric impact of the uncertainty index on conditional variance for the U.S. market, but not for the Japan market; and (iii) a correlation asymmetry with respect to synchronous and asynchronous patterns is present.

Keywords: Economic policy uncertainty; Markov-switching; Stock markets; Volatility cycles (search for similar items in EconPapers)
Date: 2022
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (5)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S1544612321005304
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:47:y:2022:i:pa:s1544612321005304

DOI: 10.1016/j.frl.2021.102579

Access Statistics for this article

Finance Research Letters is currently edited by R. Gençay

More articles in Finance Research Letters from Elsevier
Bibliographic data for series maintained by Catherine Liu ().