 How do economic policy uncertainties affect stock market volatility? Evidence from G7 countriesYaming Ma, Ziwei Wang and Feng He International Journal of Finance & Economics, 2022, vol. 27, issue 2, 2303-2325 Abstract: This study explores the dynamic and frequency spillover characteristics between economic policy uncertainty (EPU) and stock market realized volatility (RV) in G7 countries. We apply the monthly data of country‐specific economic policy uncertainty indices and realized volatility to calculate the directional spillover indicator. Then we use a Fourier transformation to calculate the frequency of spillovers to study the duration of the spillover effect. We find that the spillover effect of EPU on stock market volatility is relatively large in the U.S., Japan and Canada, and has certain regional similarities. EPU has longer spillover effects on the stock markets of France, Germany and Italy, which is strongest over 3–18 months. Finally, important economic events such as the financial crisis and the Brexit, increased EPU spillover level and lasting time. We provide the dynamic and frequency spillover characteristics between EPU and the stock market in G7 countries, making this study useful for international asset allocation and risk management. Date: 2022 Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:wly:ijfiec:v:27:y:2022:i:2:p:2303-2325 Ordering information: This journal article can be ordered from Access Statistics for this article International Journal of Finance & Economics is currently edited by Mark P. Taylor, Keith Cuthbertson and Michael P. Dooley More articles in International Journal of Finance & Economics from John Wiley & Sons, Ltd. |
Is your work missing from RePEc? Here is how to contribute.
Questions or problems? Check the EconPapers FAQ or send mail to .
EconPapers is hosted by the
School of Business at Örebro University.