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Spillovers of U.S. market volatility and monetary policy uncertainty to global stock markets
Institution:1. Shenzhen Central Sub-branch, The People’s Bank of China, Shenzhen, China;2. School of Finance, Nanjing University of Finance and Economics, Nanjing, China;3. Institute of Agricultural Economics and Development, Chinese Academy of Agricultural Sciences, Beijing, China;1. Graduate Program in Economics, Federal University of Santa Catarina, 88049-970 Florianopolis S.C., Brazil;2. Department of Economics, Federal University of Santa Catarina, 88049-970 Florianopolis S.C., Brazil;3. Department of Statistics, University of Brasilia, 70910-900 Brasilia, D.F., Brazil;4. Graduate Program in Business Administration, University of Brasilia, 70910-900 Brasilia D.F., Brazil;5. Graduate Program in Economics, Federal University of Espirito Santo, 29075-910 Vitoria E.S., Brazil;1. Faculty of Business Information, Shanghai Business School, Shanghai, China;2. Sino-British College, University of Shanghai for Science and Technology, Shanghai, China
Abstract:
Keywords:Monetary policy uncertainty  Risk-return relation  Uncertainty premium  equity market uncertainty
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