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Measuring Economic Policy Uncertainty in Colombia : a News Based Approach

Perico Ortiz, Daniel - 2022

In this paper, I develop an Economic Policy Uncertainty (EPU) measure for Colombia based on news coverage, as the one presented in Baker, Bloom, and Davis (2016). This index is the result of the analysis of 10, 113 news articles from the period between January 1994 and December 2016. Additional...

Persistent link: https://www.econbiz.de/10014030146

Response of stock market volatility to COVID-19 announcements and stringency measures : a comparison of developed and emerging markets

Bakry, Walid; Kavalmthara, Peter John; Saverimuttu, Vivienne - In: Finance research letters 46 (2022) 1, pp. 1-10

Persistent link: https://www.econbiz.de/10013341460

COVID-19 Containment Measures and Expected Stock Volatility : High-Frequency Evidence from Selected Advanced Economies

Acharya, Viral V.; Liu, Yang; Zhao, Yunhui - 2022

We study the effect of COVID-19 containment measures on expected stock price volatility in some advanced economies …-month-ahead volatility indices dropped following announcements of initial or re-imposed lockdowns, and that they did not drop significantly … following the easing of lockdowns. Such patterns are not as strong for three-month-ahead expected volatility and generally …

Persistent link: https://www.econbiz.de/10013300017

Impacts of economic policy uncertainty on the time-varying risk-return relationship : evidence from G7 countries

He, Zhifang; Zheng, Jie - In: Applied economics letters 31 (2024) 4, pp. 270-274

Persistent link: https://www.econbiz.de/10014468759

Oil price returns skewness and forecastability of international stock returns over one century of data

Salisu, Afees A.; Gupta, Rangan - 2023

Persistent link: https://www.econbiz.de/10014443111

The impact of COVID-19 shocks on the volatility of stock markets in technologically advanced countries

Zhang, Ning; Wang, Aiqun; Ul Haq, Naveed; Nosheen, Safia - In: Economic research 35 (2022) 1,2, pp. 2191-2216

Persistent link: https://www.econbiz.de/10014382070

Transmission and impact of stock market shocks on the world economy

Attílio, Luccas Assis - In: Central Bank review / Central Bank of the Republic of Turkey 24 (2024) 1, pp. 1-24

In this study, we examine stock market shocks using a Global Vector Autoregressive (GVAR) model encompassing 26 countries from January 1999 to June 2022. Our findings reveal that i) shocks originating from advanced economies (AD) exhibit greater persistence in generating fluctuations compared to...

Persistent link: https://www.econbiz.de/10014518548

Measuring Economic Policy Uncertainty Using an Unsupervised Word Embedding-based Method

Kaveh-Yazdy, Fatemeh; Zarifzadeh, Sajjad - 2021

Economic Policy Uncertainty (EPU) is a critical indicator in economic studies, while it can be used to forecast a recession. Under higher levels of uncertainty, firms’ owners cut their investment, which leads to a longer post-recession recovery. EPU index is computed by counting news articles...

Persistent link: https://www.econbiz.de/10013227656

Stylized patterns in implied volatility indices and stock market returns : a cross country analysis across developed and emerging markets

Pathak, Jalaj; Deb, Soumya Guha - In: Cogent economics & finance 8 (2020) 1, pp. 1-24

Purpose: This paper examines the associative and causal relationship between changes in the implied volatility index …, irrespective of the bear and bull market cycles. We also find that this relation is asymmetric in nature i.e. volatility spikes are … to market movements as per the "volatility feedback hypothesis" holding during bear periods only in developed countries …

Persistent link: https://www.econbiz.de/10012219567

Trading volume and market volatility : developed versus emerging stock markets

Girard, Eric; Biswas, Rita - In: The financial review : the official publication of the … 42 (2007) 3, pp. 429-459

Persistent link: https://www.econbiz.de/10003639189