301
Views
8
CrossRef citations to date
0
Altmetric
Research Article

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

, &

References

  • Arouri, M., C. Estay, C. Rault, and D. Roubaud. 2016. “Economic Policy Uncertainty and Stock Markets: Long-run Evidence from the US?” Finance Research Letters 18: 136–141. doi:10.1016/j.frl.2016.04.011.
  • Atanasov, V. 2018. “World Output Gap and Global Stock Returns.” Journal of Empirical Finance 48: 181–197. doi:10.1016/j.jempfin.2018.06.010.
  • Bernanke, B. S., and K. N. Kuttner. 2005. “What Explains the Stock Market’s Reaction to Federal Reserve Policy?” Journal of Finance 60 (3): 1221–1257. doi:10.1111/j.1540-6261.2005.00760.x.
  • Chuliá, H., M. Guillén, and J. M. Uribe. 2017b. “Measuring Uncertainty in the Stock Market.” International Review of Economics and Finance 48: 18–33. doi:10.1016/j.iref.2016.11.003.
  • Chuliá, H., R. Gupta, J. M. Uribe, and M. E. Wohar. 2017a. “Impact of US Uncertainties on Emerging and Mature Markets: Evidence from a Quantile-Vector Autoregressive Approach.” Journal of International Financial Markets Institutions & Money 48 (C): 178–191. doi:10.1016/j.intfin.2016.12.003.
  • Friedman, B. M. 1988. “Lessons on Monetary Policy from the 1980’s.” Journal of Economic Perspectives 2 (3): 51–72. doi:10.1257/jep.2.3.51.
  • Gupta, R., C. K. M. Lau, and M. E. Wohar. 2019. “The Impact of US Uncertainty on the Euro Area in Good and Bad Times: Evidence from a Quantile Structural Vector Autoregressive Model.” Empirica 46 (2): 353–368. doi:10.1007/s10663-018-9400-3.
  • Gupta, R., J. Ma, M. Risse, and M. E. Wohar. 2018. “Common Business Cycles and Volatilities in US States and MSAs: The Role of Economic Uncertainty.” Journal of Macroeconomics 57: 317–337. doi:10.1016/j.jmacro.2018.06.009.
  • Gupta, R., T. Suleman, and M. E. Wohar. 2018. “The Role of Time-varying Rare Disaster Risks in Predicting Bond Returns and Volatility.” Review of Financial Economics. doi:10.1002/rfe.1051.
  • Hamilton, J. D., and L. Gang. 1996. “Stock Market Volatility and the Business Cycle.” Journal of Applied Econometrics 11 (5): 573–593. doi:10.1002/(SICI)1099-1255(199609)11:5<573::AID-JAE413>3.0.CO;2-T.
  • Hatemi-J, A. 2012. “Asymmetric Causality Tests with an Application.” Empirical Economics 43: 447–456. doi:10.1007/s00181-011-0484-x.
  • Jermann, U. J., and V. Quadrini. 2006. “Financial Innovations and Macroeconomic Volatility.” Proceedings, Federal Reserve Bank of San Francisco, November.
  • Jermann, U. J., and V. Quadrini. 2007. “Stock Market Boom and the Productivity Gains of the 1990s.” Journal of Monetary Economics 54 (2): 413–432. doi:10.1016/j.jmoneco.2005.10.021.
  • Kaminska, I., and M. Roberts-Sklar. 2018. “Volatility in Equity Markets and Monetary Policy Rate Uncertainty.” Journal of Empirical Finance 45: 68–83. doi:10.1016/j.jempfin.2017.09.008.
  • Kishor, K. N., and H. A. Marfatia. 2013. “The Time-varying Response of Foreign Stock Markets to U.S. Monetary Policy Surprises: Evidence from the Federal Funds Futures Market.” Journal of International Financial Markets, Institutions and Money 24 (C): 1–24. doi:10.1016/j.intfin.2012.11.004.
  • Krippner, L. (2013). “A Tractable Framework for Zero Lower Bound Gaussian Term Structure Models.” Discussion Paper, Reserve Bank of New Zealand, 2013/02.
  • Nelson, D. B. 1991. “Conditional Heteroskedasticity in Asset Returns: A New Approach.” Econometrica 59: 347–370. doi:10.2307/2938260.
  • Pastor, L., and P. Veronesi. 2012. “Uncertainty about Government Policy and Stock Prices.” Journal of Finance 67: 1219–1264. doi:10.1111/j.1540-6261.2012.01746.x.
  • Plakandaras, V., J. V. Cunado, R. Gupta, and M. E. Wohar. 2017. “Do Leading Indicators Forecast U.S. Recessions? A Nonlinear Re-Evaluation Using Historical Data.” International Finance 20 (3): 289–316. doi:10.1111/infi.v20.3.
  • Plakandaras, V., R. Gupta, and M. E. Wohar. 2018. “Persistence of Economic Uncertainty: A Comprehensive Analysis.” Applied Economics 51 (41): 4477–4498. doi:10.1080/00036846.2019.1591607.
  • Plastun, A., X. Sibande, R. Gupta, and M. E. Wohar. 2019. “Rise and Fall of Calendar Anomalies over a Century.” The North American Journal of Economics and Finance 49: 181–205. doi:10.1016/j.najef.2019.04.011.
  • Strobel, J. 2015. “On the Different Approaches of Measuring Uncertainty Shocks.” Economics Letters 134 (C): 69–72. doi:10.1016/j.econlet.2015.06.012.

Reprints and Corporate Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

To request a reprint or corporate permissions for this article, please click on the relevant link below:

Academic Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

Obtain permissions instantly via Rightslink by clicking on the button below:

If you are unable to obtain permissions via Rightslink, please complete and submit this Permissions form. For more information, please visit our Permissions help page.