Volatility Spillovers between the Global Economy Policy Uncertainty Index and Equity Markets: Evidence from Developed and Emerging Economies

Abstract

This study analyses whether the Global Political Uncertainty Index has an impact on volatility in some developed and emerging markets. This study, which analyses the period between January 2003 and October 2022, uses the GARCH MIDAS approach, which allows low-frequency and high-frequency data to be analyzed together. The results show that the Global Political Uncertainty Index has a significant impact on the volatility of all markets included in the analysis. According to the results of the analysis, while an increase in global political uncertainty increases volatility in all markets, emerging markets are more affected by such uncertainty than developed markets. The markets most affected by global political uncertainty are Greece, India and China, while the least affected markets are Turkey and Canada.