Effect of uncertainty on U.S. stock returns and volatility: evidence from over eighty years of high-frequency data

Rangan Guptaa Department of Economics, University of Pretoria, Pretoria, South AfricaCorrespondence[email protected]

Hardik A. Marfatiab Department of Economics, Northeastern Illinois University, Chicago, IL, USA

Eric Olsonc Department of Finance, International Business, and Operations Management, Collins College of Business, The University of Tulsa, Tulsa, Ok, USA

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Khine Kyaw, Mojisola Olugbode & Barbara Petracci. (2023) Investors’ reaction under uncertainty. Applied Economics Letters 30:17, pages 2332-2336.
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Ruipeng Liu & Rangan Gupta. (2022) Investors’ Uncertainty and Forecasting Stock Market Volatility. Journal of Behavioral Finance 23:3, pages 327-337.
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Peipei Liu & Wei-Qiang Huang. (2024) Spatial analysis of sovereign risk from the perspective of EPU spillovers. International Review of Economics & Finance 89, pages 427-443.
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Mawuli Segnon, Rangan Gupta & Bernd Wilfling. (2024) Forecasting stock market volatility with regime-switching GARCH-MIDAS: The role of geopolitical risks. International Journal of Forecasting 40:1, pages 29-43.
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Ioannis Chatziantoniou, David Gabauer & Hardik A. Marfatia. (2021) Dynamic connectedness and spillovers across sectors: Evidence from the Indian stock market. Scottish Journal of Political Economy 69:3, pages 283-300.
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Rangan Gupta, Hardik A. Marfatia, Christian Pierdzioch & Afees A. Salisu. (2021) Machine Learning Predictions of Housing Market Synchronization across US States: The Role of Uncertainty. The Journal of Real Estate Finance and Economics 64:4, pages 523-545.
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Vasilios Plakandaras, Rangan Gupta, Mehmet Balcilar & Qiang Ji. (2022) Evolving United States stock market volatility: The role of conventional and unconventional monetary policies. The North American Journal of Economics and Finance 60, pages 101666.
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Matteo Bonato, Oğuzhan Çepni, Rangan Gupta & Christian Pierdzioch. (2021) Do oil-price shocks predict the realized variance of U.S. REITs?. Energy Economics 104, pages 105689.
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Effect of uncertainty on U.S. stock returns and volatility: evidence from over eighty years of high-frequency data

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Effect of uncertainty on U.S. stock returns and volatility: evidence from over eighty years of high-frequency data

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