ANOR 2021 Emerging stock market volatility and economic fundamentals the importance of US uncertainty spillovers, financial and health crises.pdf (1.31 MB)
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Emerging stock market volatility and economic fundamentals: the importance of US uncertainty spillovers, financial and health crises

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journal contribution
posted on 14.10.2021, 12:40 by Menelaos Karanasos, Stavroula YfantiStavroula Yfanti, John Hunter
AbstractThis paper studies the US and global economic fundamentals that exacerbate emerging stock markets volatility and can be considered as systemic risk factors increasing financial stability vulnerabilities. We apply the bivariate HEAVY system of daily and intra-daily volatility equations enriched with powers, leverage, and macro-effects that improve its forecasting accuracy significantly. Our macro-augmented asymmetric power HEAVY model estimates the inflammatory effect of US uncertainty and infectious disease news impact on equities alongside global credit and commodity factors on emerging stock index realized volatility. Our study further demonstrates the power of the economic uncertainty channel, showing that higher US policy uncertainty levels increase the leverage effects and the impact from the common macro-financial proxies on emerging markets’ financial volatility. Lastly, we provide evidence on the crucial role of both financial and health crisis events (the 2008 global financial turmoil and the recent Covid-19 pandemic) in raising markets’ turbulence and amplifying the volatility macro-drivers impact, as well.

History

School

  • Business and Economics

Department

  • Economics

Published in

Annals of Operations Research

Pages

(40)

Publisher

Springer (part of Springer Nature)

Version

VoR (Version of Record)

Rights holder

© The authors

Publisher statement

This is an Open Access Article. It is published by Springer under the Creative Commons Attribution 4.0 Unported Licence (CC BY). Full details of this licence are available at: http://creativecommons.org/licenses/by/4.0/

Acceptance date

13/03/2021

Publication date

2021-04-21

ISSN

0254-5330

eISSN

1572-9338

Language

en

Depositor

Dr Stavroula Yfanti. Deposit date: 14 October 2021