Table 1 Definition of uncertainty variables
From: Uncertainty index and stock volatility prediction: evidence from international markets
Variable | Definition | Full period | Trading days | Data source |
|---|---|---|---|---|
EMU | Equity market uncertainty index for the United States (Log) | 2001/1/1–2021/08/31 | 7548 | Public website 1 |
VIX | The CBOE volatility index (Log) | 2001/1/2–2021/08/31 | 5199 | Public website 2 |
DVIX | The CBOE volatility index (Log change) | 2001/1/2–2021/08/31 | 5199 | Public website 2 |
VOL | Volume of NASDAQ stock index (investor sentiment proxy, Log change) | 2001/1/2–2021/08/31 | 5199 | Public website 2 |
USEPU | Economic policy uncertainty for the United States (Log change) | 2001/1/1–2021/08/31 | 7548 | Public website 1 |
UKEPU | Economic policy uncertainty for the United Kingdom (Log change) | 2001/1/1–2021/08/31 | 7548 | Public website 1 |
CNEPU | Economic policy uncertainty for Chinese mainland (Log change) | 2001/1/1–2021/08/31 | 7548 | Public website 3 |