Department of Economics and Business Economics

Economic Policy Uncertainty and Long-Run Stock Market Volatility and Correlation

Research output: Working paperResearch

Standard

Economic Policy Uncertainty and Long-Run Stock Market Volatility and Correlation. / Asgharian, Hossein; Christiansen, Charlotte; Hou, Ai Jun.

Aarhus : Institut for Økonomi, Aarhus Universitet, 2018.

Research output: Working paperResearch

Harvard

Asgharian, H, Christiansen, C & Hou, AJ 2018 'Economic Policy Uncertainty and Long-Run Stock Market Volatility and Correlation' Institut for Økonomi, Aarhus Universitet, Aarhus.

APA

Asgharian, H., Christiansen, C., & Hou, A. J. (2018). Economic Policy Uncertainty and Long-Run Stock Market Volatility and Correlation. Aarhus: Institut for Økonomi, Aarhus Universitet. CREATES Research Papers, No. 2018-12

CBE

Asgharian H, Christiansen C, Hou AJ. 2018. Economic Policy Uncertainty and Long-Run Stock Market Volatility and Correlation. Aarhus: Institut for Økonomi, Aarhus Universitet.

MLA

Asgharian, Hossein, Charlotte Christiansen and Ai Jun Hou Economic Policy Uncertainty and Long-Run Stock Market Volatility and Correlation. Aarhus: Institut for Økonomi, Aarhus Universitet. (CREATES Research Papers; Journal number 2018-12). 2018., 34 p.

Vancouver

Asgharian H, Christiansen C, Hou AJ. Economic Policy Uncertainty and Long-Run Stock Market Volatility and Correlation. Aarhus: Institut for Økonomi, Aarhus Universitet. 2018 Apr 3.

Author

Asgharian, Hossein ; Christiansen, Charlotte ; Hou, Ai Jun. / Economic Policy Uncertainty and Long-Run Stock Market Volatility and Correlation. Aarhus : Institut for Økonomi, Aarhus Universitet, 2018. (CREATES Research Papers; No. 2018-12).

Bibtex

@techreport{940ff72853ed463ebc1b50b3255ed4d1,
title = "Economic Policy Uncertainty and Long-Run Stock Market Volatility and Correlation",
abstract = "We use Baker, Bloom, and Davis’s (2016) economic policy uncertainty indices in combination with the mixed data sampling (MIDAS) approach to investigate long-run stock market volatility and correlation, primarily for the US and UK. Long-run US–UK stock market correlation depends positively on US economic policy uncertainty shocks. The dependence is asymmetric, with only positive shocks - increasing uncertainty - being of importance. The US long-run stock market volatility depends significantly on US economic policy uncertainty shocks but not on UK shocks, while the UK long-run stock market volatility depends significantly on both. Allowing for US economic policy uncertainty shocks improves the out-of-sample forecasting of US–UK stock market correlation and enhances portfolio performance. Similar results apply to the long-run correlation between the US and Canada, China, and Germany.",
author = "Hossein Asgharian and Charlotte Christiansen and Hou, {Ai Jun}",
year = "2018",
month = "4",
day = "3",
language = "English",
publisher = "Institut for {\O}konomi, Aarhus Universitet",
type = "WorkingPaper",
institution = "Institut for {\O}konomi, Aarhus Universitet",

}

RIS

TY - UNPB

T1 - Economic Policy Uncertainty and Long-Run Stock Market Volatility and Correlation

AU - Asgharian, Hossein

AU - Christiansen, Charlotte

AU - Hou, Ai Jun

PY - 2018/4/3

Y1 - 2018/4/3

N2 - We use Baker, Bloom, and Davis’s (2016) economic policy uncertainty indices in combination with the mixed data sampling (MIDAS) approach to investigate long-run stock market volatility and correlation, primarily for the US and UK. Long-run US–UK stock market correlation depends positively on US economic policy uncertainty shocks. The dependence is asymmetric, with only positive shocks - increasing uncertainty - being of importance. The US long-run stock market volatility depends significantly on US economic policy uncertainty shocks but not on UK shocks, while the UK long-run stock market volatility depends significantly on both. Allowing for US economic policy uncertainty shocks improves the out-of-sample forecasting of US–UK stock market correlation and enhances portfolio performance. Similar results apply to the long-run correlation between the US and Canada, China, and Germany.

AB - We use Baker, Bloom, and Davis’s (2016) economic policy uncertainty indices in combination with the mixed data sampling (MIDAS) approach to investigate long-run stock market volatility and correlation, primarily for the US and UK. Long-run US–UK stock market correlation depends positively on US economic policy uncertainty shocks. The dependence is asymmetric, with only positive shocks - increasing uncertainty - being of importance. The US long-run stock market volatility depends significantly on US economic policy uncertainty shocks but not on UK shocks, while the UK long-run stock market volatility depends significantly on both. Allowing for US economic policy uncertainty shocks improves the out-of-sample forecasting of US–UK stock market correlation and enhances portfolio performance. Similar results apply to the long-run correlation between the US and Canada, China, and Germany.

M3 - Working paper

BT - Economic Policy Uncertainty and Long-Run Stock Market Volatility and Correlation

PB - Institut for Økonomi, Aarhus Universitet

CY - Aarhus

ER -