Forecasting performance of global economic policy uncertainty for volatility of Chinese stock market

H, Yu; Fang, Libing; Sun, Wencong

doi:10.1016/j.physa.2018.03.083

Cited by 82 publications

(39 citation statements)

References 35 publications

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“…In addition to crisis and stress conditions, the international stock markets’ degree of spillover coupled with economic policy uncertainty (EPU) influence the dynamics and even change the market’s direction. In this context, the EPU index, developed by Baker et al ( 2016 ), influences stock market returns (Antonakakis et al 2013 ; Arouri et al 2016 ; Christou et al 2017 ; Guo et al 2018 ; Hu et al 2018 ; Phan et al 2018 ; Xiong et al 2018 ; He et al 2020 ) and volatility (Yu et al 2018 ; Yu and Song 2018 ; Mei et al 2018 ; Balcilar et al 2019 ; Wang et al 2020 ). Therefore, a recent strand of literature focused on EPU’s effect on relationships between financial assets, including relationships between stock markets (Li and Peng 2017 ), bonds and stocks (Fang et al 2017 ; Li et al 2015 ), commodity and stock markets (Fang et al 2018 ; Badshah et al 2019 ), and Bitcoin and conventional assets (Matkovskyy et al 2020 ).…”

Section: Introductionmentioning

confidence: 99%

Dynamic connectedness between stock markets in the presence of the COVID-19 pandemic: does economic policy uncertainty matter?

2021

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This study investigates the dynamic connectedness between stock indices and the effect of economic policy uncertainty (EPU) in eight countries where COVID-19 was most widespread (China, Italy, France, Germany, Spain, Russia, the US, and the UK) by implementing the time-varying VAR (TVP-VAR) model for daily data over the period spanning from 01/01/2015 to 05/18/2020. Results showed that stock markets were highly connected during the entire period, but the dynamic spillovers reached unprecedented heights during the COVID-19 pandemic in the first quarter of 2020. Moreover, we found that the European stock markets (except Italy) transmitted more spillovers to all other stock markets than they received, primarily during the COVID-19 outbreak. Further analysis using a nonlinear framework showed that the dynamic connectedness was more pronounced for negative than for positive returns. Also, findings showed that the direction of the EPU effect on net connectedness changed during the pandemic onset, indicating that information spillovers from a given market may signal either good or bad news for other markets, depending on the prevailing economic situation. These results have important implications for individual investors, portfolio managers, policymakers, investment banks, and central banks.

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Section: Introductionmentioning

confidence: 99%

Dynamic connectedness between stock markets in the presence of the COVID-19 pandemic: does economic policy uncertainty matter?

2021

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“…Meanwhile, uncertainty plays an important role in economic fluctuations. In particular, economic policy uncertainty (EPU) has had a direct impact on stock markets ( Pastor and Veronesi, 2012 ; Antonakakis et al., 2013 ; Brogaard and Detzel, 2015 ; Ko and Lee, 2015 ; Liu and Zhang, 2015 ; Tsai, 2017 ; Chen et al., 2017 ; Arouri et al., 2016 ; Yu et al., 2018 ; Kannadhasan and Das, 2019 ; Wang et al., 2020 ).…”

Section: Introductionmentioning

confidence: 99%

Industry volatility and economic uncertainty due to the COVID-19 pandemic: Evidence from wavelet coherence analysis

Choi

2020

Finance Research Letters

150

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Highlights We investigate the impact of economic uncertainty due to the coronavirus (COVID-19) pandemic on the industrial economy in the US. We apply wavelet coherence analysis to economic policy uncertainty (EPU) data and monthly sector volatility of the S&P 500 index. Our analysis indicates that COVID-19 has had a substantial impact on all sectors of the US stock market. The influence of the pandemic on the industrial economy is larger than that of the global financial crisis (GFC) for all sectors.

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“…Several studies use GEPU as an independent variable. This variable is found to significantly impact the prices of assets (Kang & Ratti, 2013;Yu, Fang, & Sun, 2018), as well as key corporate decisions (Wang et al, 2014).…”

Section: Independent Variablesmentioning

confidence: 98%

Role of global economic policy uncertainty on firms participation in innovation and new product introductions: an empirical study in African SMEs

Shankar

2020

Transnational Corporations Review

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This study investigates the impact of Global Economic Policy Uncertainty (GEPU) on firms' key marketing strategies namely, innovation as characterised by R&D spending and new product introductions. Additional analyses investigate whether labour productivity is also impacted. Based on a sample of African SMEs in both the services and manufacturing sectors, the findings from this study indicate GEPU negatively impacts the firm's propensity to undertake key marketing strategies (i.e. innovation and new product introductions). The implications from this research discuss how African SMEs could pursue less risky marketing strategies in order to survive during times of high economic uncertainty.

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Forecasting performance of global economic policy uncertainty for volatility of Chinese stock market

Cited by 82 publications

References 35 publications

Dynamic connectedness between stock markets in the presence of the COVID-19 pandemic: does economic policy uncertainty matter?

Dynamic connectedness between stock markets in the presence of the COVID-19 pandemic: does economic policy uncertainty matter?

Industry volatility and economic uncertainty due to the COVID-19 pandemic: Evidence from wavelet coherence analysis

Role of global economic policy uncertainty on firms participation in innovation and new product introductions: an empirical study in African SMEs

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