Financial uncertainty and stock market volatility
研究中国金融不确定性对股市波动的影响，发现不确定性正向影响市场波动的趋势成分，并能提升波动率预测的统计和经济效果。
Abstract This study explores the relation between financial uncertainty and volatility in China. The time variation in financial uncertainty shocks is theoretically closely related to stock return dynamics. Empirically, the financial uncertainty measure is based on a large set of economic and financial variables and captures its unpredictable component. Over the sample period from 2000 to 2021, we find that financial uncertainty positively impacts the trend component of market volatility and that it improves volatility predictions in both statistical and economic terms. Our study sheds new light on the sources driving volatility and the dynamic relation between uncertainty and volatility components.