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Dynamics of Co-movements among Implied Volatility, Policy Uncertainty and Market Performance

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  • Mobeen Ur Rehman

Abstract

This article examines the dynamic correlation among policy uncertainty, stock returns and implied volatility. The presence of a heterogeneous pattern during the financial crises period indicated significant dynamic correlation values with persistence. Extraneous variables, that is, exchange rate changes and oil prices, also influenced the dynamic correlation pattern between implied volatility index and stock market returns. Findings of this article suggest that the time-varying property exists among correlations and is sensitive to the financial turmoil and exchange rate changes.

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  • Mobeen Ur Rehman, 2017. "Dynamics of Co-movements among Implied Volatility, Policy Uncertainty and Market Performance," Global Business Review, International Management Institute, vol. 18(6), pages 1478-1487, December.
    • Handle: RePEc:sae:globus:v:18:y:2017:i:6:p:1478-1487
    DOI: 10.1177/0972150917713060
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