Dynamic co-movements of stock market returns, implied volatility and policy uncertainty

Nikolaos Antonakakis, Ioannis Chatziantoniou and George Filis

Economics Letters, 2013, vol. 120, issue 1, 87-92

Abstract: We examine time-varying correlations among stock market returns, implied volatility and policy uncertainty. Our findings suggest that correlations are indeed time-varying and sensitive to oil demand shocks and US recessions.

Keywords: Policy uncertainty; Dynamic correlation; Stock market return; Implied volatility; Oil price shock (search for similar items in EconPapers)
JEL-codes: C32 E60 E66 G10 G18 (search for similar items in EconPapers)
Date: 2013
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Citations: View citations in EconPapers (290)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:120:y:2013:i:1:p:87-92

DOI: 10.1016/j.econlet.2013.04.004

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