arXiv 2 May 2025 · Finance — Statistical Finance
arXiv:2505.01543 · PDF · DOI · OpenAlex · Extracted main text
This study evaluates the scale-dependent informational efficiency of stock markets using the Financial Chaos Index, a tensor-eigenvalue-based measure of realized volatility. Incorporating Granger causality and network-theoretic analysis across a range of economic, policy, and news-based uncertainty indices, we assess whether public information is efficiently incorporated into asset price fluctuations. Based on a 34-year time period from 1990 to 2023, at the daily frequency, the semi-strong form of the Efficient Market Hypothesis is rejected at the 1% level of significance, indicating that asset price changes respond predictably to lagged news-based uncertainty. In contrast, at the monthly frequency, such predictive structure largely vanishes, supporting informational efficiency at coarser temporal resolutions. A structural analysis of the Granger causality network reveals that fiscal and monetary policy uncertainties act as core initiators of systemic volatility, while peripheral indices, such as those related to healthcare and consumer prices, serve as latent bridges that become activated under crisis conditions. These findings underscore the role of time-scale decomposition and structural asymmetries in diagnosing market inefficiencies and mapping the propagation of macro-financial uncertainty.
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The works this paper leans on most, across its whole bibliography — not restricted to papers in our corpus. Ranked by composite intensity, which combines how often a work is mentioned, how many sections mention it, and how much of that falls in the main text rather than the appendix.
| Reference | Intensity | Mentions | Sections | Main text | |
|---|---|---|---|---|---|
| 1 | barticle Ataei, M., Chen, S., Yang, Z., Peyghami, M.R.: Theory and a… (2021) ) barticle | 1.000 | 7 | 3 | 100% |
| 2 | barticle Baker, S.R., Bloom, N., Davis, S.J.: Measuring economic pol… –1636 (2016) barticle | 0.737 | 3 | 2 | 100% |
| 3 | botherref Baker, S.R., Bloom, N., Davis, S.J., Kost, K.J.: Policy ne… (2019) botherref | 0.644 | 2 | 2 | 100% |
| 4 | bchapter Faes, L., Sameshima, K.: Assessing connectivity in the pres… (2014) ) bchapter | 0.644 | 2 | 2 | 100% |
| 5 | barticle Schiatti, L., Nollo, G., Rossato, G., Faes, L.: Extended gr… (2015) ) barticle | 0.644 | 2 | 2 | 100% |
| 6 | barticle Al-Thaqeb, S.A., Algharabali, B.G.: Economic policy uncerta… (2019) ) barticle | 0.405 | 1 | 1 | 100% |
| 7 | barticle Ataei, M., Chen, S., Yang, Z., Peyghami, M.R.: Time-homogen… (2020) ) barticle | 0.405 | 1 | 1 | 100% |
| 8 | barticle Barnett, L., Bossomaier, T.: Transfer entropy as a log-like… (2012) ) barticle | 0.405 | 1 | 1 | 100% |
| 9 | barticle Bland, J.M., Altman, D.G.: Multiple significance tests: the… (1995) ) barticle | 0.405 | 1 | 1 | 100% |
| 10 | barticle Brogaard, J., Nguyen, T.H., Putnins, T.J., Wu, E.: What mov… (2022) ) barticle | 0.405 | 1 | 1 | 100% |
Showing the top 10 of 23 scored citations.