High policy uncertainty and low implied market volatility: An academic puzzle?

• 成果类型: Article
• 署名作者: Bialkowski, Jedrzej; Dang, Huong Dieu; Wei, Xiaopeng
• 署名单位: University of Canterbury
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2021.05.011
• 发表日期: 2022
• 页码: 1185-1208
• 关键词: Market volatility; Economic policy uncertainty; Quality of political signals; Bullish market; Investors' opinions

摘要

Motivated by the extremely low level of the CBOE VIX accompanied by the high level of U.S. economic policy uncertainty in the period of late 2016 to the end of 2017, we exam-ine 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 mar-ket volatility and policy uncertainty. Our findings help to explain the divergence between the market volatility index and economic policy uncertainty post the 2016 U.S. presidential election and the UK Brexit referendum. (c) 2021 The Authors. Published by Elsevier B.V. This is an open access article under the CC BY-NC-ND license ( http://creativecommons.org/licenses/by-nc-nd/4.0/ )