期刊论文

Wen, Fenghua

英文

NORTH AMERICAN JOURNAL OF ECONOMICS AND FINANCE

1062-9408

2020

52

101174

10.1016/j.najef.2020.101174

The authors are grateful to the editor and anonymous referees for insightful comments that significantly improved the paper. This work is supported by the National Natural Science Foundation of China granted [ 71771030 , 71873146 , 71873147 , 11301041 ], Scientific Research Fund of Hunan Provincial Education Department granted [ 19A007 ].

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This study examines the predictability of stock market implied volatility on stock volatility in five developed economies (the US, Japan, Germany, France, and the UK) using monthly volatility data for the period 2000 to 2017. We utilize a simple linear autoregressive model to capture predictive relationships between stock market implied volatility and stock volatility. Our in-sample results show there exists very significant Granger causality from stock market implied volatility to stock volatility. The out-of-sample results also indicate that ...