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

Mendeley Data20

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