High policy uncertainty and low implied market volatility – an academic puzzle?

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dc.contributor.authorWei X
dc.contributor.authorBialkowski, Jedrzej
dc.contributor.authorDang, Huong Dieu
dc.date.accessioned2021-06-08T23:57:08Z
dc.date.available2021-06-08T23:57:08Z
dc.date.issued2022en
dc.date.updated2021-05-27T23:52:31Z
dc.description.abstractMotivated by the extremely low level of the CBOE VIX accompanied by the high level of US economic policy uncertainty in the period of late 2016 to the end of 2017, we examine the factors affecting the relationship between market volatility and economic policy uncertainty in the United States and the United Kingdom. Our analysis shows that low-quality political signals, higher opinion divergence among investors, and exceptional equity market performance consistently weaken the positive relationship between implied market volatility and policy uncertainty. Our findings help to explain the divergence between the market volatility index and economic policy uncertainty post the 2016 US presidential election and the UK Brexit referendum.en
dc.identifier.citationBialkowski J, Dang H, Wei X (2022). High policy uncertainty and low implied market volatility – an academic puzzle? (forthcoming). Journal of Financial Economics.en
dc.identifier.doi10.1016/j.jfineco.2021.05.011
dc.identifier.issn0304-405X
dc.identifier.urihttps://hdl.handle.net/10092/101991
dc.language.isoen
dc.rights©2021The Authors. Published by Elsevier B.V. This is an open access article under the CC BY-NC-ND licenseen
dc.rights.urihttp://hdl.handle.net/10092/17651en
dc.subjectVIXen
dc.subjectVTSEen
dc.subjectEconomic policy uncertaintyen
dc.subjectBaker-Bloom-Davis indexen
dc.subjectQuality of political signalsen
dc.subjectInvestor sentimenten
dc.subjectBullish marketen
dc.subjectInvestors’ opinionsen
dc.subject.anzsrc1402 Applied Economicsen
dc.subject.anzsrc1502 Banking, Finance and Investmenten
dc.subject.anzsrc1606 Political Scienceen
dc.subject.anzsrcFields of Research::35 - Commerce, management, tourism and services::3502 - Banking, finance and investment::350208 - Investment and risk managementen
dc.subject.anzsrcFields of Research::38 - Economics::3801 - Applied economics::380107 - Financial economicsen
dc.subject.anzsrcFields of Research::44 - Human society::4407 - Policy and administration::440703 - Economic development policyen
dc.titleHigh policy uncertainty and low implied market volatility – an academic puzzle?en
dc.typeJournal Articleen
uc.collegeUC Business School
uc.departmentDepartment of Economics and Finance
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