Does oil and gold price uncertainty matter for the stock market?

We proxy the uncertainty in the stock, oil and gold markets with the variance risk premia, extracted from futures and option contracts traded on each of these asset classes. We observe that an independent increase in the stock, oil or gold markets uncertainty coincides with negative returns for a large portion of stocks. However, only the stock market uncertainty is a systematic priced factor in the entire cross section of stock expected returns. The oil price uncertainty is a sector-specific factor, and due to the industry segmentation of the market, it is only priced within oil-relevant industries. Finally, the gold price uncertainty is an asset-specific factor that is neither priced across nor within industries.