The paper investigates the effect of monetary policy uncertainty on stock return volatility. Contrary to the widely accepted wisdom that higher uncertainty leads to higher volatility, we find that monetary policy uncertainty negatively predicts stock return volatility both in and out of sample...

Møller and Rangvid (2015) report that economic growth at the end of the year is a strong predictor of future stock returns for the post-WWII period, whereas economic growth during the rest of the year does not. Revisiting these results with an extended period 1926-2020, we find that this...

From the view of high frequency, this paper develops three new nonparametric and nonlinear measurements for the lead-lag relationship between the stock index future and its spot index based on dynamic time warping algorithm: a point measurement and two interval measurements. As the name implies,...