Theoretical and Applied Economics
No. 2 / 2023 (635), Summer
Measuring stock market uncertainty
Prasad Teja DAKEY
University of Hyderabad, India
University of Hyderabad, India
Abstract. This paper constructs economic uncertainty measure for India using daily stock market indicators and compare with widely used proxy for uncertainty i.e., the VIX. It is observed that constructed measure is a better suitable proxy for economic uncertainty than VIX. Also, the study uses wavelet analysis to understand the association between uncertainty and other high- frequency indicators of the Economy. Wavelet analysis depicts a strong covariance between the uncertainty and other indicators in periods of high uncertainty.
Keywords: uncertainty, stock-market, stochastic volatility, wavelets, India.
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Contents
- The future of money and the money supply
Constantin ANGHELACHE
Mădălina-Gabriela ANGHEL
Ștefan Virgil IACOB
Dana Luiza GRIGORESCU
- Implications of migration policies on reducing
income inequalities and poverty in Europe
Monica BURESCU MIHĂILA
Paula Roxana CUCOȘ
- An analysis regarding
the transition from quantitative easing
to quantitative tightening in the Euro Area
Laura-Mădălina IACOB (PÎRȘCOVEANU)
- Modern leadership in business organisations
during economic disruption
Raluca Iuliana GEORGESCU
- Does the effectiveness of money supply
and foreign direct investment
determine the industrial growth performance in India?
Mrutyunjaya SAHOO
Praveen SAHU
- The effect of poverty and income inequality on CO2 emission
based on Environmental Kuznets Curve analysis:
Empirical evidence from selected developing countries
Yusuf Ekrem AKBAS
Fuat LEBE
- Can renewable energy sources pump the economy
Georgiana Tatiana BONDAC
Alexandru TOMA
- Evolution of growth theory:
from Harrod to Romer
Mrinal SAIKIA
Prakash DAS
Disha NEOG
- Role of information systems for management
in multispeciality hospitals to improve performance:
A conceptual framework
Navya GANDHAVALLA
Abin GEORGE
- Measuring stock market uncertainty
Prasad Teja DAKEY
- Frequency domain causality analysis
of financial development and economic growth
in Côte d’Ivoire
Brou Emmanuel AKA
Yao Silvère KONAN
- Theoretical framework
to introduce rainfall index-based futures contracts in India
Dileep N
G. KOTRESHWAR
- Quest of dynamic linkages
between monetary factors and food inflation in India
Amritkant MISHRA
Ajit Kumar DASH
Amba AGARWAL
- An enquiry into extreme price movements
of the cryptocurrencies in the backdrop of COVID-19
Suvvari ANANDARAO
Balaga Mohana RAO
Anoop S KUMAR
- Effect of inflation on the growth and development
of the Pakistan economy: An empirical analysis
Tom JACOB
Raphael RINCY
V.S. AJINA
