The Role of Economic Policy Uncertainty in Predicting Stock Return Volatility in the Banking Industry: A Big Data Analysis

The research aims to study the effects of economic policy uncertainty on return volatility stocks with data from largest banking institutions in Greece. Volatility is constructed using intraday data, whereas period extends over a about thirteen years, more specifically January 5, 2001, June 30, 2014. This includes various phases market, such as stock market crashes along booms (e.g. financial crisis 2007 and 2008 United States European sovereign debt crisis). estimated regressions were used indicate direct four large Greek banks. index based different estimators used. There statistically significant "direct" effect returns banks, which are (a) Alpha Bank, (b) Eurobank, (c) National Bank Greece, (d) Piraeus Bank. Such findings highly important for specific groups people, investors, policymakers, regulators. first that seeks identify system, data. Doi: 10.28991/ESJ-2022-06-03-011 Full Text: PDF