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

ABSTRACT: 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

SUBMITTER: Karanasos M 

PROVIDER: S-EPMC8059431 | biostudies-literature | 2022

REPOSITORIES: biostudies-literature