Asymmetric dependence between economic policy uncertainty and stock market returns in G7 and BRIC: A quantile regression approach

Guo, Peng; Zhu, Huiming; You, Wanhai

doi:10.1016/j.frl.2017.11.001

Cited by 129 publications

(42 citation statements)

References 14 publications

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“…EPU has a negative impact, particularly in bullish markets in Korea. This result is similar to that of Peng et al (2018), who found that stock prices are sensitive to EPU shocks in bullish markets. The coefficient of OBTE is positive and significant.…”

Section: Methodssupporting

confidence: 89%

The Impact of Tourism Uncertainty on Airline Stock Markets in Korea: A Quantile Regression Approach

Jeon

2021

Journal of Business Economics and Management

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This study explores the impact of tourism uncertainty, including economic policy uncertainty (EPU) and travel crises arising from issues such as terrorism and disease outbreaks, on airline stock markets in Korea. Airline stock prices are particularly affected by tourism uncertainty. Using data from 2001–2018 and events influencing tourism uncertainty such as the 9/11 terrorist attacks and severe acute respiratory syndrome, quantile regression approach reveals how EPU influences airline stock prices in Korea during three market phases – bearish, normal, and bullish. EPU and travel crises negatively affect airline stock prices in Korea. Specifically, we document that higher EPU and more global travel crises lead to deeper reductions in stock prices in bullish markets. These results provide implications and insights for airline investors, stakeholders, and organizations concerned about the influence of tourism uncertainty on airline stock prices in Korea.

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Section: Methodssupporting

confidence: 89%

The Impact of Tourism Uncertainty on Airline Stock Markets in Korea: A Quantile Regression Approach

Jeon

2021

Journal of Business Economics and Management

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“…While several studies investigated the effects of elections on stock markets (Białkowski, Gottschalk, & Wisniewski, 2008;Li & Born, 2006;Nippani & Arize, 2005;Nippani & Medlin, 2002;Pástor & Veronesi, 2013), others focused on the banking sector (Chen & Liu, 2013;Francis, Hasan, & Zhu, 2014;Önder & Özyıldırım, 2013). In general, the literature has highlighted the importance of political uncertainty and its role in generating uncertainty and reinforcing vulnerability in financial markets Guo et al, 2018;Mei et al, 2018).…”

Section: Literature Reviewmentioning

confidence: 99%

Financial stress dynamics in the MENA region: Evidence from the Arab Spring

El-Sayed

Yarovaya

2019

Journal of International Financial Markets, Institutions and Mo

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In this paper we analyse the impact of instability caused by the Arab Spring on the comovements and volatility spillovers of aggregated Financial Stress Indices for eight MENA countries. Using a dynamic frequency connectedness framework, we conclude that stress transmission between markets is higher at low frequencies than at high frequencies, which implies that MENA markets are slow in adjusting to the information they receive. The Global Financial Crisis generated stronger spillover effects between MENA markets than the political turmoil of the Arab Spring. These results are useful for investors with different investment horizons, and have policy implications for the maintenance of financial stability in this region.

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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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Asymmetric dependence between economic policy uncertainty and stock market returns in G7 and BRIC: A quantile regression approach

Cited by 129 publications

References 14 publications

The Impact of Tourism Uncertainty on Airline Stock Markets in Korea: A Quantile Regression Approach

The Impact of Tourism Uncertainty on Airline Stock Markets in Korea: A Quantile Regression Approach

Financial stress dynamics in the MENA region: Evidence from the Arab Spring

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

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