International economic policy uncertainty and stock prices: Wavelet approach

Ko, Jun-Hyung; Lee, Chang-Min

doi:10.1016/j.econlet.2015.07.012

Cited by 258 publications

(141 citation statements)

References 11 publications

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“…To date, many empirical studies have investigated the relationship between global risk factors and stock market returns in capital asset pricing model (CAPM) framework and linear framework (Sadorsky & Henriques, 2001;Mohanty, Nandha, & Bota, 2010;Waszczuk, 2013;Brogaard & Detzel, 2015;Moya-Martínez et al, 2014;Demirer et al, 2015;Naifar et al, 2017). However, in the recent time, some empirical studies have analysed the impacts of global factors on economic and financial performances considering time varying, structural shifts, and different market conditions (Arouri, Estay, Rault, & Roubaud, 2016;Basher, Haug, & Sadorsky, 2018;Bijsterbosch & Guérin, 2013;Kang, Ratti, & Yoon, 2015;Ko & Lee, 2015;Zhu, Su, You, & Ren, 2017). These empirical studies have shown that investigations of the relationship between global risk factor and financial market performance require the nonlinear framework, which captures the financial market volatilities and structural shifts in stock market behaviour.…”

Section: Introductionmentioning

confidence: 99%

The impacts of global economic policy uncertainty on stock market returns in regime switching environment: Evidence from sectoral perspectives

Hoque

Zaidi

2018

Int. J Fin Econ

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This study contributes in building emerging literature by investigating the impacts of global economic policy uncertainty on Malaysian sectoral stock performance. This study models sectoral stock returns as time‐varying transition probability Markovian processes and employs two‐stage Markov‐switching model for findings impacts of global economic policy uncertainty on sectoral stock returns in regime switching environment. The empirical results reveal that linear framework unable to detect the effects global economic policy uncertainty, and the Markov‐switching model exhibits significant effects of global economic policy uncertainty on all sectoral stock returns excluding technology sector in Malaysia stock market. The findings also expose that the effects of global economic policy uncertainty vary across regime states, sectors, and nature of effects, where the negative effects of global economic policy uncertainty dominate over positive effects. The global economic policy uncertainty exhibits greater impacts on stock returns in high‐volatility regime. Thus, the findings confirm the existence of asymmetric, nonlinear, nonmonotonic, and state‐dependent relationship between global economic policy uncertainty and sectoral stock returns in Malaysia. Therefore, the overall empirical findings can be applied in asset pricing and investment decision‐making purposes. The findings also suggest that global economic policy uncertainty can be a systemic risk factor and predictor of stock market returns.

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Section: Introductionmentioning

confidence: 99%

The impacts of global economic policy uncertainty on stock market returns in regime switching environment: Evidence from sectoral perspectives

Hoque

Zaidi

2018

Int. J Fin Econ

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“…Another recent paper belonging to this growing literature is Ko and Lee (2015). They examine the link between economic policy uncertainty and stock prices with the help of wavelet analysis.…”

Section: Waveletsmentioning

confidence: 99%

On the cyclicity of regional house prices: New evidence for U.S. metropolitan statistical areas

Flor¹,

Klarl

2017

Journal of Economic Dynamics and Control

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Standard-Nutzungsbedingungen:Die Dokumente auf EconStor dürfen zu eigenen wissenschaftlichen Zwecken und zum Privatgebrauch gespeichert und kopiert werden.Sie dürfen die Dokumente nicht für öffentliche oder kommerzielle Zwecke vervielfältigen, öffentlich ausstellen, öffentlich zugänglich machen, vertreiben oder anderweitig nutzen.Sofern die Verfasser die Dokumente unter Open-Content-Lizenzen (insbesondere CC-Lizenzen) zur Verfügung gestellt haben sollten, gelten abweichend von diesen Nutzungsbedingungen die in der dort genannten Lizenz gewährten Nutzungsrechte. This paper is mainly concerned with the analysis of regional house price cycles. Based on a newly available data set consisting of the 40 largest U.S. Metropolitan Statistical Areas (MSAs), we introduce a wavelet transform based metric to study the housing cycle synchronization across MSAs. We derive several conclusions: (i) We show that regional housing cycle dissimilarities are significantly and strongly connected to geography. Terms of use: Documents in(ii) We show that U.S. regional housing cycles are considerably shorter compared to business cycles. (iii) By employing statistical methods, we also show that regional housing prices significantly converge after the bursting of the bubble only at higher business cycle frequencies, whereas for lower business cycle frequencies this is not the case. This is a notable result, because it directly implies that housing cycles behavior is different even at the business cycle.JEL-Code: C320, C330, E320, R110, R310.

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“…This study investigates the effects of uncertainty on vehicles miles travelled in the U.S.by using monthly data from the 1970s to 2014.EPU index developed by Baker et al (2015) reflects information about the media coverage of political uncertainty, tax expiration codes, and disagreement among economic forecasters. EPU has recently received increasing attention and it is used to assess the impact of policy uncertainty on various variables, such as the firm-level decisions (Francis et al 2014;Gulen and Ion, 2016;Kang et al, 2014;Wang et al 2014), the oil price (Bekiros et al 2015), the gold price (Aye et al 2015), macroeconomic indicators (Bhagat and Ghosh, 2014), and the stock prices (Antonakakis et al 2013;Ko and Lee, 2015;Demir and Oguz, 2015;Sum, 2013). To the best of our knowledge, there is no study that uses the EPU indexes to analyze the effects of policy uncertainty on the travel demand.…”

Section: Introductionmentioning

confidence: 99%

The Impact of Economic Policy Uncertainty on the Vehicle Miles Traveled (Vmt) in the U.S.

Demir¹,

Gözgör²

2016

EJBM

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This paper examines the impact of the economic policy uncertainty (EPU) on the vehicle miles traveled (VMT) in the United States (U.S.) over the period of January 1978 to October 2014. We estimate an empirical model based on a travel demand-analysis. It is found that an increase in economic policy uncertainty leads to a decrease in vehicle miles traveled. This negative relationship is also observed when different model types, various control variables, and the subindexes of the EPU are considered in the model.

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International economic policy uncertainty and stock prices: Wavelet approach

Cited by 258 publications

References 11 publications

The impacts of global economic policy uncertainty on stock market returns in regime switching environment: Evidence from sectoral perspectives

The impacts of global economic policy uncertainty on stock market returns in regime switching environment: Evidence from sectoral perspectives

On the cyclicity of regional house prices: New evidence for U.S. metropolitan statistical areas

The Impact of Economic Policy Uncertainty on the Vehicle Miles Traveled (Vmt) in the U.S.

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