The role of global economic policy uncertainty in long-run volatilities and correlations of U.S. industry-level stock returns and crude oil.

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  • Author(s): Yu H;Yu H; Fang L; Fang L; Sun B; Sun B
  • Source:
    PloS one [PLoS One] 2018 Feb 08; Vol. 13 (2), pp. e0192305. Date of Electronic Publication: 2018 Feb 08 (Print Publication: 2018).
  • Publication Type:
    Journal Article; Research Support, Non-U.S. Gov't
  • Language:
    English
  • Additional Information
    • Source:
      Publisher: Public Library of Science Country of Publication: United States NLM ID: 101285081 Publication Model: eCollection Cited Medium: Internet ISSN: 1932-6203 (Electronic) Linking ISSN: 19326203 NLM ISO Abbreviation: PLoS One Subsets: MEDLINE
    • Publication Information:
      Original Publication: San Francisco, CA : Public Library of Science
    • Subject Terms:
      Economics* ; Industry* ; Internationality* ; Investments* ; Petroleum* ; Uncertainty*; United States
    • Abstract:
      We investigate how Global Economic Policy Uncertainty (GEPU) drives the long-run components of volatilities and correlations in crude oil and U.S. industry-level stock markets. Using the modified generalized autoregressive conditional heteroskedasticity mixed data sampling (GARCH-MIDAS) and dynamic conditional correlation mixed data sampling (DCC-MIDAS) specifications, we find that GEPU is positively related to the long-run volatility of Financials and Consumer Discretionary industries; however, it is negatively related to Information Technology, Materials, Telecommunication Services and Energy. Unlike the mixed role of GEPU in the long-run volatilities, the long-run correlations are all positively related to GEPU across the industries. Additionally, the rankings of the correlations of Energy and Materials are time-invariant and classified as high, with the little exception of the latter. The Consumer Staples industry is time-invariant in the low-ranking group. Our results are helpful to policy makers and investors with long-term concerns.
    • References:
      PLoS One. 2011;6(8):e22794. (PMID: 21857954)
      PLoS One. 2014 May 27;9(5):e97711. (PMID: 24867071)
      PLoS One. 2015 Nov 16;10(11):e0141605. (PMID: 26571135)
    • Accession Number:
      0 (Petroleum)
    • Publication Date:
      Date Created: 20180209 Date Completed: 20180409 Latest Revision: 20181113
    • Publication Date:
      20240105
    • Accession Number:
      PMC5805266
    • Accession Number:
      10.1371/journal.pone.0192305
    • Accession Number:
      29420645