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2020 | OriginalPaper | Chapter

4. Does Economic Policy Uncertainty Matter for Stock Market Volatility?

Authors : Abhisek Mishra, Byomakesh Debata

Published in: The Financial Landscape of Emerging Economies

Publisher: Springer International Publishing

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Abstract

This study examines the dynamic relationship between economic policy uncertainty (EPU) and stock market volatility in a pure order-driven emerging stock market. Considering the non-linear EPU-volatility relationship, this study uses GARCH family of models to capture the impact of policy uncertainty on stock market volatility. Empirical estimates reveal that economic policy uncertainty is an essential determinant of stock market volatility, and higher EPU leads to significant increase in volatility. We believe, a thorough understanding the EPU-Volatility relationship can be beneficial for investors to better predict the behaviour of stock market volatility.

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Metadata
Title
Does Economic Policy Uncertainty Matter for Stock Market Volatility?
Authors
Abhisek Mishra
Byomakesh Debata
Copyright Year
2020
DOI
https://doi.org/10.1007/978-3-030-60008-2_4