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Emerging stock market volatility and economic fundamentals: the importance of US uncertainty spillovers, financial and health crises

Annals of operations research, 2022-06, Vol.313 (2), p.1077-1116 [Peer Reviewed Journal]

The Author(s) 2021 ;The Author(s) 2021. ;COPYRIGHT 2022 Springer ;The Author(s) 2021. This work is published under http://creativecommons.org/licenses/by/4.0/ (the “License”). Notwithstanding the ProQuest Terms and Conditions, you may use this content in accordance with the terms of the License. ;ISSN: 0254-5330 ;EISSN: 1572-9338 ;DOI: 10.1007/s10479-021-04042-y ;PMID: 33903782

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  • Title:
    Emerging stock market volatility and economic fundamentals: the importance of US uncertainty spillovers, financial and health crises
  • Author: Karanasos, M. ; Yfanti, S. ; Hunter, J.
  • Subjects: Analysis ; Bivariate analysis ; Business and Management ; Combinatorics ; COVID-19 ; Economics ; Global economy ; Infectious diseases ; International finance ; Operations Research/Decision Theory ; Risk analysis ; S.I.: Risk Management Decisions and Value under Uncertainty ; Stock exchanges ; Stock markets ; Theory of Computation ; Uncertainty ; Volatility ; Volatility (Finance)
  • Is Part Of: Annals of operations research, 2022-06, Vol.313 (2), p.1077-1116
  • Description: This paper studies the US and global economic fundamentals that exacerbate emerging stock markets volatility and can be considered as systemic risk factors increasing financial stability vulnerabilities. We apply the bivariate HEAVY system of daily and intra-daily volatility equations enriched with powers, leverage, and macro-effects that improve its forecasting accuracy significantly. Our macro-augmented asymmetric power HEAVY model estimates the inflammatory effect of US uncertainty and infectious disease news impact on equities alongside global credit and commodity factors on emerging stock index realized volatility. Our study further demonstrates the power of the economic uncertainty channel, showing that higher US policy uncertainty levels increase the leverage effects and the impact from the common macro-financial proxies on emerging markets’ financial volatility. Lastly, we provide evidence on the crucial role of both financial and health crisis events (the 2008 global financial turmoil and the recent Covid-19 pandemic) in raising markets’ turbulence and amplifying the volatility macro-drivers impact, as well.
  • Publisher: New York: Springer US
  • Language: English
  • Identifier: ISSN: 0254-5330
    EISSN: 1572-9338
    DOI: 10.1007/s10479-021-04042-y
    PMID: 33903782
  • Source: Springer Nature OA/Free Journals
    ProQuest Central
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