Examining the response of financial market volatility to cable news-based economic policy uncertainty
Investment Analysts Journal, 2025 (SSCI, Scopus)
- Publication Type: Article / Article
- Publication Date: 2025
- Doi Number: 10.1080/10293523.2025.2544491
- Journal Name: Investment Analysts Journal
- Journal Indexes: Social Sciences Citation Index (SSCI), Scopus, Academic Search Premier, IBZ Online, Business Source Elite, Business Source Premier
- Keywords: Cable News-based EPU, crude oil, exchange rate, gold, implied volatility, stock
- Open Archive Collection: Article
- Azerbaijan State University of Economics (UNEC) Affiliated: Yes
Abstract
This study provides a novel insight into the influence of Cable News-Based Economic Policy Uncertainty (CNEPU) on market dynamics across stocks, crude oil, gold, and exchange rates. By emphasising media-driven policy uncertainty, it underscores the role of real-time news coverage in shaping public perception, investor sentiment, and subsequent market fluctuations. The study employs various quantile-based approaches using daily data from 2011 to 2023. The findings reveal distinct effects across asset classes: higher CNEPU stabilises stock market volatility (VIX) but amplifies crude oil volatility (OVX) under already volatile conditions. Gold volatility declines with rising CNEPU, reinforcing its role as a safe haven, while Euro currency volatility decreases, signalling a shift toward stability. Based on these findings, policy recommendations are provided.