This paper investigates the effects of U.S. economic variables on the time variation of Chinese stock market volatility. We find that several U.S. economic variables such as the dividend price ratio, dividend yield and industrial production strongly forecast the future monthly volatilities of...

This paper examines how the macroeconomic environment affects crash risk-policy uncertainty sensitivity. We document that policy uncertainty heightens crash risk, while economic growth diminishes crash risk-policy uncertainty sensitivity through the managers’ policy risk perception channel....