Salisu, Afees A.Ogbonna, Ahamuefula E.Gupta, RanganBouri, Elie2024-07-152024-07-152024-06Salisu, A.A., Ogbonna, A.E., Gupta, R. et al. 2024, 'Energy-related uncertainty and international stock market volatility', Quarterly Review of Economics and Finance, vol. 95, pp. 280-293, doi : 10.1016/j.qref.2024.04.005.1062-9769 (print)10.1016/j.qref.2024.04.005http://hdl.handle.net/2263/97041This paper predicts the daily return volatility of 28 advanced and developing stock markets using monthly metrics of the corresponding country and global energy-related uncertainty indexes (EUIs) recently proposed in the literature. Using data in their “natural” frequencies to avoid aggregation bias, the results show that country-specific and global EUIs have predictive powers for stock returns volatility for the in-sample periods, with increased levels of EUIs exhibiting the tendency to heighten volatility. This predictability also withstands various out-of-sample forecast horizons, implying that EUI is a statistically relevant predictor in the out-of-sample analysis. The forecast precision of the GARCH-MIDAS model is improved by incorporating global EUIs relatively more than country-specific EUIs. The robustness of the findings with respect to the choice of EUI and sample definition is further confirmed. The outcomes have important policy implications for the concerned stakeholders who are concerned with stability in the global financial system and economy.en© 2024 The Author(s). Published by Elsevier Inc. on behalf of Board of Trustees of the University of Illinois. This is an open access article under the CC BY-NC-ND license.Energy-related uncertainty indexes (EUIs)Monthly energy-related uncertainty indexDaily stock returns volatilityDeveloped economiesDeveloping economiesGARCH-MIDASGeneralized autoregressive conditional heteroskedasticity (GARCH)Mixed data sampling (MIDAS)PredictionsSDG-08: Decent work and economic growthArticle