Understanding stock market volatility: What is the role of U.S. uncertainty?

Su, Zhi; Tong, Fang; Yin, Libo

doi:10.1016/j.najef.2018.07.014

Cited by 91 publications

(61 citation statements)

References 42 publications

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“…This result also suggests that both markets showed a certain level of tolerance to health risk during the COVID-19 outbreak, with developed markets showing a significantly higher level of tolerance. This result is corroborated by Su et al. (2019) and Qadan, 2019 .…”

Section: Resultssupporting

confidence: 69%

Pandemics and the emerging stock markets

Salisu

Sikiru²,

2020

Borsa Istanbul Review

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In this study, we examine the response of emerging stock markets due to the uncertainty of pandemics and epidemics (UPE), including the COVID-19 pandemic. We demonstrate this by evaluating the stock return predictability of 24 emerging market stocks using the new datasets on uncertainty due to pandemics as well as the global fear index for the COVID-19 pandemic. We partition the data sample into periods before and after the announcement of the COVID-19 pandemic and employ panel data techniques that account for salient features of both the series and predictive model. We found that emerging stock markets are more vulnerable to UPE than developed market stocks. Put differently, developed stock markets provide a better hedge against UPE than emerging stock markets. We also find that incorporating the UPE indicator in the valuation of stocks, particularly during pandemics, is crucial for investment decisions.

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Section: Resultssupporting

confidence: 69%

Pandemics and the emerging stock markets

Salisu

Sikiru²,

2020

Borsa Istanbul Review

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“…This is reasonable since the role of the United States as the hegemon of the international financial market and monetary system has long been established (Farhi & Maggiori, 2017). Financial conditions and monetary policy in the United States have long argued exhibit remarkable global transmission effects (Craine & Martin, 2008; Rapach, Strauss, & Zhou, 2013; Su, Fang, & Yin, 2019; Wongswan, 2006).…”

Section: Related Literature Reviewmentioning

confidence: 99%

Intermediary asset pricing in commodity futures returns

Yin

Nie

Han

2020

Journal of Futures Markets

Self Cite

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This paper assesses the extent to which intermediary capital (IC) risk contributes toward explaining commodity futures returns. We find that the IC effect is substantially positive and continues to grow as the financialization of commodities deepens. Positive and negative IC risks play asymmetric roles, with the effect of negative IC strengthening in recent subperiods. We further confirm the heterogeneous roles of IC across individual commodities by crosssection analyses. Overall, the effect of the positive IC risk factor varies significantly. Portfolios with low basis, low open interest, low momentum, and low liquidity earn significantly higher returns than counterparty portfolios.

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“…In this line, Onan et al. (2014) find that good and bad announcements asymmetrically impact the financial volatility, whereas most of recent studies focus on the role of Economic Policy Uncertainty (EPU) in influencing the financial volatility ( Antonakakis et al., 2013 ; Chen and Chiang, 2020 ; Kalyvas et al., 2019 ; Li et al., 2020 ; Mei et al., 2018 ; Su et al., 2019 ; Tiwari et al., 2019 ; Yen and Cheng, 2020 ; Zhenghui and Junhao, 2019 ). For example, Karnizova and Li (2014) predict the US recession using the interaction between EPU and stock market volatility, whereas Zhu et al.…”

Section: Introductionmentioning

confidence: 99%

COVID-19 and the United States financial markets’ volatility

Albulescu

2021

Finance Research Letters

439

265

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We empirically investigate the effect of the official announcements regarding the COVID-19 new cases of infection and fatality ratio, on the financial markets volatility in the United States (US). We consider both COVID-19 global and US figures and show that the sanitary crisis enhances the S&P 500 realized volatility. Our findings are robust to different model specifications and suggest that the prolongation of the coronavirus pandemic is an important source of financial volatility, challenging the risk management activity.

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Understanding stock market volatility: What is the role of U.S. uncertainty?

Cited by 91 publications

References 42 publications

Pandemics and the emerging stock markets

Pandemics and the emerging stock markets

Intermediary asset pricing in commodity futures returns

COVID-19 and the United States financial markets’ volatility

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