Using a sample of 16 international stock market indices spanning the period of January 2015 to June 2022, we examine how global equity markets interact with respect to volatility spillover, with a special focus on differences regarding investment horizons and how the connectedness structure...

This paper mainly investigates the performances of Chinese categorial economic policy uncertainty (EPU) indices and categorial Twitter-based uncertainty for predicting Chinese stock market volatility. Results show both types of uncertainty indices can predict Chinese stock market volatility,...