Economic policy uncertainty on stock market risk contagion: a network-based approach
Hualu Shao,
Di Wang,
Baicheng Zhou
Abstract:It is necessary to study the relationship between the dynamical uncertainty and risk contagion in the financial market. In this paper, we use the Economic Policy Uncertainty (EPU) Index, calculate the stock index volatility of the top seven global economies in 2021, then construct a risk spillover network. For the sub-sample analysis, we select three different types of global crises to study the transmission direction and intensity within the risk network across each time period. The results show that firstly,… Show more
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