When uncertainty reduces spending among US consumers, it may affect the bottom line
stock performance of Asian producers that cater to their needs. Theory predicts that the …

Behavioural finance literature explains that investment decisions are subject to 'investor
sentiment'and, consequently, may affect the pricing of various asset classes. Our study …

This paper reveals joint stochastic behaviours of the world's stock markets and geopolitical
risk by a copula approach for the 37 world's stock markets over the period of June 1997 to …

We provide first evidence of the multiscale comovement of correlations between the S&P
500 VIX and the VIXs of Amazon, Apple, Google, Goldman Sachs, and IBM. Using grey …

This article examines the effects of economic policy uncertainty (EPU) on the implied
volatility index. The implied volatility index of various markets has been analyzed in relation …

Economic policy drives investment, production, employment, and other macroeconomic
indicators of the economy. The study examines the equity, commodity, interest rates, and …

It is universally acknowledged that both linear Vector Autoregressive (VAR) models and
nonlinear econometric frameworks, such as Markov Regime Switching (MRS) model, can …

We examine how political power, polarization, and economic policy uncertainty (EPU) in
Canada and the US affect the Canadian equity market from 1985 to 2019. We document …

In this paper, we examined the changes in volatility overflow among the exchange rate of the
Japanese yen (JPY), the Nikkei Stock Average (Nikkei), the Tokyo Stock Price Index (TOPIX) …

The vector autoregressive (VAR) model has been popularly employed in operational
practice to study multivariate time series. Despite its usefulness in providing associated …