Policy News and Stock Market Volatility

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Replication file for "Policy News and Stock Market Volatility" (Baker, Bloom, Davis, Kost (2025))

Policy News and Stock Market Volatility

Replication file for "Policy News and Stock Market Volatility" (Baker, Bloom, Davis, Kost (2025))

NIAID Data Ecosystem00

Policy News and Stock Market Volatility

We use newspapers to create Equity Market Volatility (EMV) trackers at daily and monthly frequencies. Our headline EMV tracker moves closely with the VIX and the S&P500 returns volatility in and out o

NBER2019-04-01 更新50

Stock market Realised Volatility

Daily realised volatilities for the Dow Jones Index and 26 individual stocks. The Realised Volatility data was used to evaluate different volatility forecasting methods. The Realised Volatility data

Research Data Australia90

Policy News and Stock Market Volatility

Replication file for "Policy News and Stock Market Volatility" (Baker, Bloom, Davis, Kost (2025))

Mendeley Data00

Macroeconomic Volatility and Stock Market Volatility, Worldwide

Notwithstanding its impressive contributions to empirical financial economics, there remains a significant gap in the volatility literature, namely its relative neglect of the connection between macro

NBER2008-08-01 更新30