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Stock market volatility and jumps in times of uncertainty
Journal of International Money and Finance ( IF 2.8 ) Pub Date : 2021-01-15 , DOI: 10.1016/j.jimonfin.2021.102355
Anastasios Megaritis , Nikolaos Vlastakis , Athanasios Triantafyllou

In this paper we examine the predictive power of latent macroeconomic uncertainty on US stock market volatility and jump tail risk. We find that increasing macroeconomic uncertainty predicts a subsequent rise in volatility and price jumps in the US equity market. Our analysis shows that the latent macroeconomic uncertainty measure of Jurado et al. (2015) has the most significant and long-lasting impact on US stock market volatility and jumps in the equity market when compared to the respective impact of the VIX and other popular observable uncertainty proxies. Our study is the first to show that the latent macroeconomic uncertainty factor outperforms the VIX when forecasting volatility and jumps after the 2007 US Great Recession. We additionally find that latent macroeconomic uncertainty is a common forecasting factor of volatility and jumps of the intraday returns of S&P 500 constituents and has higher predictive power on the volatility and jumps of the equities which belong to the financial sector. Overall, our empirical analysis shows that stock market volatility is significantly affected by the rising degree of unpredictability in the macroeconomy, while it is relatively immune to shocks in observable uncertainty proxies.



中文翻译:

股市波动和不确定时期的跳跃

在本文中,我们检验了潜在的宏观经济不确定性对美国股市波动和跳尾风险的预测能力。我们发现,宏观经济不确定性不断增加,预示着美国股票市场的波动性和价格上涨将随之上升。我们的分析表明,Jurado等人的潜在宏观经济不确定性测度。(2015年)对美国股票市场的波动具有最重大和最持久的影响,而与VIX和其他流行的可观察不确定性代理的影响相比,股票市场的跃升。我们的研究首次表明,潜在的宏观经济不确定性因素在预测波动率时优于VIX,并在2007年美国大衰退之后跃升。我们还发现,潜在的宏观经济不确定性是波动率和标准普尔500成分股当日收益率跳跃的常见预测因素,并且对属于金融行业的股票的波动性和跳跃性具有更高的预测能力。总体而言,我们的经验分析表明,宏观经济中不可预测性的上升程度极大地影响了股票市场的波动性,而相对可观的不确定性代理则相对不受冲击。

更新日期:2021-02-28
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