International stock volatility predictability: New evidence from uncertainties

Jiqian Wang, Feng Ma, Tianyang Wang and Lan Wu

Journal of International Financial Markets, Institutions and Money, 2023, vol. 85, issue C

Abstract: This study explores the previous unexamined aspect of the comprehensive U.S. economic uncertainty in improving the accuracy of international equity markets volatility. Our empirical results reveal that the novel U.S. economic uncertainty index as a powerful new predictor of equity volatility in international markets from both in-sample and out-of-sample perspectives, especially for non-U.S. equity index formed by high market capitalization stocks. We show that the U.S. economic uncertainty index subsumes the information content of the stock market volatility, and it contains incremental information on future volatility after controlling for contemporaneous volatility. Furthermore, our empirical results suggest that the U.S. economic uncertainty can transmit to the international equity markets from credit spread channel. Our results are robust and provide new insights to investors and policy makers.

Keywords: Economic uncertainty; International volatility forecasting; Transmission channel (search for similar items in EconPapers)
Date: 2023
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (4)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S1042443123000495
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:intfin:v:85:y:2023:i:c:s1042443123000495

DOI: 10.1016/j.intfin.2023.101781

Access Statistics for this article

Journal of International Financial Markets, Institutions and Money is currently edited by I. Mathur and C. J. Neely

More articles in Journal of International Financial Markets, Institutions and Money from Elsevier
Bibliographic data for series maintained by Catherine Liu ().