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Measuring stock market uncertainty

Author

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  • Prasad Teja DAKEY

    (University of Hyderabad, India)

Abstract

This paper constructs economic uncertainty measure for India using daily stock market indicators and compare with widely used proxy for uncertainty i.e., the VIX. It is observed that constructed measure is a better suitable proxy for economic uncertainty than VIX. Also, the study uses wavelet analysis to understand the association between uncertainty and other high- frequency indicators of the Economy. Wavelet analysis depicts a strong covariance between the uncertainty and other indicators in periods of high uncertainty.

Suggested Citation

  • Prasad Teja DAKEY, 2023. "Measuring stock market uncertainty," Theoretical and Applied Economics, Asociatia Generala a Economistilor din Romania / Editura Economica, vol. 0(2(635), S), pages 149-162, Summer.
    • Handle: RePEc:agr:journl:v:2(635):y:2023:i:2(635):p:149-162
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    References listed on IDEAS

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