Supplementary information files for Emerging stock market volatility and economic fundamentals: the importance of US uncertainty spillovers, financial and health crises
Supplementary information files for the article Emerging stock market volatility and economic fundamentals: the importance of US uncertainty spillovers, financial and health crises Abstract: This paper studies the US and global economic fundamentals that exacerbate emerging stock markets volatility...
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2022
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rr-article-197397732022-05-19T14:56:12Z Supplementary information files for Emerging stock market volatility and economic fundamentals: the importance of US uncertainty spillovers, financial and health crises Menelaos Karanasos (7198736) Stavroula Yfanti (5472878) John Hunter (1349355) Economic policy uncertainty Emerging markets Financial and health crises Macro-financial linkages Realized variance Uncertainty spillovers Science & Technology Technology Operations Research & Management Science POLICY UNCERTAINTY POLITICAL UNCERTAINTY ASYMPTOTIC THEORY MODELS DETERMINANTS AGGREGATE INFERENCE RETURNS TESTS OIL Operations Research Mathematical Sciences Information and Computing Sciences Commerce, Management, Tourism and Services <p>Supplementary information files for the article Emerging stock market volatility and economic fundamentals: the importance of US uncertainty spillovers, financial and health crises</p> <p><br></p> <p>Abstract: This 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. </p> 2022-05-19T14:56:12Z Dataset Dataset 10.17028/rd.lboro.19739773.v1 https://figshare.com/articles/dataset/Supplementary_information_files_for_Emerging_stock_market_volatility_and_economic_fundamentals_the_importance_of_US_uncertainty_spillovers_financial_and_health_crises/19739773 CC BY 4.0 |
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Loughborough University |
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Economic policy uncertainty Emerging markets Financial and health crises Macro-financial linkages Realized variance Uncertainty spillovers Science & Technology Technology Operations Research & Management Science POLICY UNCERTAINTY POLITICAL UNCERTAINTY ASYMPTOTIC THEORY MODELS DETERMINANTS AGGREGATE INFERENCE RETURNS TESTS OIL Operations Research Mathematical Sciences Information and Computing Sciences Commerce, Management, Tourism and Services |
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Economic policy uncertainty Emerging markets Financial and health crises Macro-financial linkages Realized variance Uncertainty spillovers Science & Technology Technology Operations Research & Management Science POLICY UNCERTAINTY POLITICAL UNCERTAINTY ASYMPTOTIC THEORY MODELS DETERMINANTS AGGREGATE INFERENCE RETURNS TESTS OIL Operations Research Mathematical Sciences Information and Computing Sciences Commerce, Management, Tourism and Services Menelaos Karanasos Stavroula Yfanti John Hunter Supplementary information files for Emerging stock market volatility and economic fundamentals: the importance of US uncertainty spillovers, financial and health crises |
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Supplementary information files for the article Emerging stock market volatility and economic fundamentals: the importance of US uncertainty spillovers, financial and health crises Abstract: This 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. |
| format |
Data Data |
| author |
Menelaos Karanasos Stavroula Yfanti John Hunter |
| author_facet |
Menelaos Karanasos Stavroula Yfanti John Hunter |
| author_sort |
Menelaos Karanasos (7198736) |
| title |
Supplementary information files for Emerging stock market volatility and economic fundamentals: the importance of US uncertainty spillovers, financial and health crises |
| title_short |
Supplementary information files for Emerging stock market volatility and economic fundamentals: the importance of US uncertainty spillovers, financial and health crises |
| title_full |
Supplementary information files for Emerging stock market volatility and economic fundamentals: the importance of US uncertainty spillovers, financial and health crises |
| title_fullStr |
Supplementary information files for Emerging stock market volatility and economic fundamentals: the importance of US uncertainty spillovers, financial and health crises |
| title_full_unstemmed |
Supplementary information files for Emerging stock market volatility and economic fundamentals: the importance of US uncertainty spillovers, financial and health crises |
| title_sort |
supplementary information files for emerging stock market volatility and economic fundamentals: the importance of us uncertainty spillovers, financial and health crises |
| publishDate |
2022 |
| url |
https://dx.doi.org/10.17028/rd.lboro.19739773.v1 |
| _version_ |
1768010595471196160 |