We decompose global stock market volatility shocks into financial originated shocks and non-financial originated shocks …. Global stock market volatility shocks arising from financial sources reduce substantially more global outputs and inflation … than non-financial sources shocks. Financial stock market volatility shocks forecasts 16.85% and 16.88% of the variation in …

We create a newspaper-based Equity Market Volatility (EMV) tracker that moves with the VIX and with the realized … volatility of returns on the S&P 500. Parsing the underlying text, we find that 72 percent of EMV articles discuss the … Macroeconomic Outlook, and 44 percent discuss Commodity Markets. Policy news is another major source of volatility: 35 percent of …

We examine time-varying correlations among stock market returns, implied volatility and policy uncertainty. Our …

market information can be used to improve realized volatility forecasts in a large cross-section of international equity … markets. We use volatility data for the U.S. and 17 foreign equity markets from the Oxford Man Institute's realized library … and augment for each foreign equity market our benchmark HAR model with U.S. equity market volatility information. We show …

assessment. The result showed that an increase in policy uncertainty impacted stock returns only if the extreme volatility was …

COVID-19 pandemic. The empirical findings provide compelling evidence of cross-market shock and volatility transmission … influence the volatility of stock returns, and the relationship also holds in reverse. All diagonal element estimations are … statistically significant for both periods, as shown by the findings of the return and volatility spillovers between the returns of …