... that stock returns are adversely related to the risk/uncertainty measured by downside risk, Δ EPU t and | Δ GPR t | , whereas the bond return is positively related to a rise in Δ EPU t ; the gold return is positively correlated with a heightened | Δ...

... to deal with the heteroscedasticity problem. Findings Evidence shows that stock returns are positively correlated with predictable volatility and lagged downside risk. This study indicates that the stock returns are negatively correlated with both local and global uncertainty innovations. The test...