Sector Volatility Spillover and Economic Policy Uncertainty

Sector Volatility Spillover and Economic Policy Uncertainty - MDPI

We find that consumer discretionary, industrials, and materials sectors are systemically important industries during the sample period.

The results of the GARCH-MIDAS regression indicate that none of the selected EPU indexes has a significant long-term impact on the total volatility spillover of ...

Economic policy uncertainty and stock market sector time-varying ...

This paper investigates the volatility spillover effect among the Chinese economic policy uncertainty index, stock markets, gold and oil

(PDF) Sector Volatility Spillover and Economic Policy Uncertainty

The findings also confirm that the commerce, transportation, manufacturing, and service sectors are more sensitive to the Covid-19 pandemic ...

Sector Volatility Spillover and Economic Policy Uncertainty - DOAJ

The results of the GARCH-MIDAS regression indicate that none of the selected EPU indexes has a significant long-term impact on the total volatility spillover of ...

Does economic policy uncertainty drive volatility spillovers in ...

More recently, economic policy uncertainty was found to have a significant effect on the price and return volatility in energy sectors. For example, Ma et al. ( ...

Economic Policy Uncertainty and Volatility Spillovers Among ...

We further investigate if economic policy uncertainty (EPU) affects volatility spillovers among global stock markets. The results suggest that ...

Economic policy uncertainty and stock market sector time-varying ...

This paper investigates the volatility spillover effect among the Chinese economic policy uncertainty index, stock markets, gold and oil by employing the ...

Asymmetric volatility spillovers between economic policy uncertainty ...

Abstract: This study explores the spillovers between economic policy uncertainty. (EPU) and stock market realized volatility (RV).

How Does Economic Policy Uncertainty Connect With the Volatility ...

Our study is relevant because GEPU is a major risk factor in global financial market performance and may negatively affect asset returns.

Impact of oil price volatility and economic policy uncertainty on ...

This paper also demonstrates that the link between corporate investment, OPU and EPU is influenced by nations that produce oil, market ...

Economic policy uncertainty on stock market risk contagion - Frontiers

It is necessary to study the relationship between the dynamical uncertainty and risk contagion in the financial market. In this paper, we use the Economic ...

Economic Policy Uncertainty and Emerging Stock Market Volatility

Economic policy uncertainty has important implications for shaping an entire economy. In recent years, economic policy uncertainty (EPU) has ...

Return spillover of Vietnam's sectors in response to US uncertainties

Additionally, reducing economic policy uncertainty appears to lower intersectoral volatility spillovers in the Vietnamese stock market.

Economic policy uncertainty and stock market sector time-varying ...

Thirdly, during COVID-19, oil spillovers from other sources dropped rapidly to a very low point, it also had a significant impact on the net volatility ...

Industry-specific effects of economic policy uncertainty on stock ...

The industry-specific analysis revealed that EPU has a negative relationship with the volatility in the following four industries: consumer discretionary, ...

How do economic policy uncertainties affect stock market volatility ...

Then we use a Fourier transformation to calculate the frequency of spillovers to study the duration of the spillover effect. We find that the ...

Volatility Spillovers Among Economic Policy Uncertainty, Energy ...

Our study first reveals that long-term volatility spillovers are the primary contributor to total volatility spillover during normal periods, ...

Asymmetric spillover between economic policy uncertainty and ...

The sector spillover effect of ERV on EPU is approximately 2.1 times that of EPU on ERV, showing a prominent asymmetric two-way spillover effect ...

Economic Policy Uncertainty and Stock Market Spillovers - MDPI

To sum up, EPU significantly slows down investment in the country, industry, and firm levels. Researchers in [56] employed a heterogeneous panel structural VARs ...