Does monetary policy uncertainty command a risk premium in the <scp>Chinese</scp> stock market?

Lin, Lei; Tan, Jianguo; Liu, Wenzhen

doi:10.1111/irfi.12356

Cited by 1 publication

(2 citation statements)

References 31 publications

(81 reference statements)

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“…The methodology constructed for the uncertainty index is based on the articles of seven Indian newspapers [3] (Baker et al ., 2013), and Lin et al . (2021) advocate in their work that the prior literature acknowledges news-based uncertainty affects market behavior (Lin et al ., 2021). In alignment with previous research, we have used the Indian EPU index to analyze its influence on the behavior of three different segments of Indian markets.…”

Section: Introductionmentioning

confidence: 97%

“…There are 2,888 citations [2] of their work that show the significance of methodology and indexes in scholarly works. The methodology constructed for the uncertainty index is based on the articles of seven Indian newspapers [3] (Baker et al, 2013), and Lin et al (2021) advocate in their work that the prior literature acknowledges news-based uncertainty affects market behavior (Lin et al, 2021). In alignment with previous research, we have used the Indian EPU index to analyze its influence on the behavior of three different segments of Indian markets.…”

Section: Introductionmentioning

confidence: 99%

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Dynamic association of economic policy uncertainty with oil, stock and gold: a wavelet-based approach

Soni

Nandan²,

Chatnani³

2023

JES

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PurposeThis research unfolds a holistic association between economic policy uncertainty (EPU) and three important markets (oil, stock and gold) in the Indian context. To do same, the current study uses the monthly dataset of each variable spanning from November 2005 to March 2022.Design/methodology/approachThe authors have portrayed the wavelet-based coherence, correlation and covariance plots to explore the interaction between EPU and markets' behavior. Then, a wavelet-based quantile on quantile regression model and wavelet-based Granger causality has been applied to examine the cause-and-effect relation and causality between the EPU and markets.FindingsThe authors’ findings report that the Indian crude oil buyers do not need to consider Indian EPU while negotiating the oil deals in the short term and medium term. However, in case of the long-term persistence of uncertainty, it becomes difficult for a buyer to negotiate oil deals at cheap rates. EPU causes unfavorable fluctuation in the stock market because macroeconomic decisions have a substantial impact on it. The authors have also found that gold is a gauge for economic imbalances and an accurate observer of inflation resulting from uncertainty, showing a safe haven attribute.Originality/valueThe authors’ work is original in two aspects. First, their study solely focused on the Indian economy to investigate the impact and causal power of Indian EPU on three major components of the Indian economy: oil, stock and gold. Second, they will provide their findings after analyzing data at a very microlevel using a wavelet-based quantile on quantile and wavelet-based Granger causality.

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Section: Introductionmentioning

confidence: 97%

Section: Introductionmentioning

confidence: 99%