Dynamics of Co-movements among Implied Volatility, Policy Uncertainty and Market Performance

Mobeen Ur Rehman

Global Business Review, 2017, vol. 18, issue 6, 1478-1487

Abstract: This article examines the dynamic correlation among policy uncertainty, stock returns and implied volatility. The presence of a heterogeneous pattern during the financial crises period indicated significant dynamic correlation values with persistence. Extraneous variables, that is, exchange rate changes and oil prices, also influenced the dynamic correlation pattern between implied volatility index and stock market returns. Findings of this article suggest that the time-varying property exists among correlations and is sensitive to the financial turmoil and exchange rate changes.

Keywords: Dynamic correlations; stock returns; implied volatility; policy uncertainty; exchange rate (search for similar items in EconPapers)
Date: 2017
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Persistent link: https://EconPapers.repec.org/RePEc:sae:globus:v:18:y:2017:i:6:p:1478-1487

DOI: 10.1177/0972150917713060

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