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Publication date: 29 November 2023

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The Emerald Handbook of Research Management and Administration Around the World
Type: Book
ISBN: 978-1-80382-701-8

Open Access
Article
Publication date: 22 March 2021

Jun Sik Kim

This paper aims to investigate the impact of uncertainty on the predictive power of term spread and its components for future stock market returns and economic activity in Korea…

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This paper aims to investigate the impact of uncertainty on the predictive power of term spread and its components for future stock market returns and economic activity in Korea and the USA. This paper finds that the stock market’s expected excess return and growth of economic activity are positively related to the risk-neutral expectation, one of the term spread’s components, particularly during high uncertainty periods. These findings are consistent with the importance of the monetary policy by the central bank in a high uncertainty environment created by unexpected shocks. The results are robust to alternate definitions of high uncertainty periods.

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Journal of Derivatives and Quantitative Studies: 선물연구, vol. 29 no. 1
Type: Research Article
ISSN: 1229-988X

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