U.S., European, Chinese economic policy uncertainty and Moroccan stock market volatility

Belcaid, Karim; Ghini, Ahmed El

doi:10.1016/j.jeca.2019.e00128

Cited by 19 publications

(7 citation statements)

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“…Consistent with global findings of the spillover effect of international uncertainty shocks on equity markets, a significant information flow from global uncertainty to most African stocks studied were found [18,[54][55][56]. In particular, the finding corroborates with Belcaid and El Ghini's [37] results of the Moroccan stock market's sensitivity to economic policy uncertainty of France, Spain, and the US. This was expected as African economies heavily depend on international economies for most of their economic activities.…”

Section: Discussion: the Implication For Open Innovationsupporting

confidence: 81%

“…At the country level, Cakan and Gupta [36] showed that while bad news about US inflation does not affect the volatility of South African stock returns, good news tends to increase volatility. Similarly, Belcaid and El Ghini [37] showed that volatility in the Moroccan stock market is to explain economic policy uncertainty in France, Spain, and the US. What is missing is how African stock returns respond to broader economic uncertainty measured via economic policy uncertainty.…”

Section: Literature Reviewmentioning

confidence: 96%

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Susceptibility of Stock Market Returns to International Economic Policy: Evidence from Effective Transfer Entropy of Africa with the Implication for Open Innovation

Adam

2020

Journal of Open Innovation: Technology, Market, and Complexity

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This study contributes to the scant finance literature on information flow from international economic policy uncertainty to emerging stock markets in Africa, using daily US economic policy uncertainty as a proxy and the daily stock market index for Botswana, Egypt, Ghana, Kenya, Morocco, Nigeria, Namibia, South Africa, and Zambia from 31 December 2010 to 27 May 2020, using the Rényi effective transfer entropy. International economic policy uncertainty transmits significant information to Egypt, Ghana, Morocco, Namibia, and South Africa, and insignificant information to Botswana, Kenya, Nigeria, and Zambia. The asymmetry in the information transfer tends to make the African market an alternative for the diversification of international portfolios when the uncertainty of the global economic policy is on the rise. The findings also have implications for the adoption of open innovation in African stock markets.

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Section: Discussion: the Implication For Open Innovationsupporting

confidence: 81%

Section: Literature Reviewmentioning

confidence: 96%

Susceptibility of Stock Market Returns to International Economic Policy: Evidence from Effective Transfer Entropy of Africa with the Implication for Open Innovation

Adam

2020

Journal of Open Innovation: Technology, Market, and Complexity

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“…As a result, firms might become more volatile, exacerbating market volatility. Many research examined the association between the EPU of the developed countries (e.g., the USA) and financial market volatility (Belcaid & El Ghini, 2019; Li et al, 2019; Ma et al, 2020). Some studies even established EPU’s predictive power on volatility forecasts (Liu et al, 2017).…”

Section: Literature Reviewmentioning

confidence: 99%

“…While most research has focused on the policy uncertainty—financial return comovements, few studies have examined the association between policy uncertainty and the financial market volatility (Belcaid & El Ghini, 2019; Li et al, 2019; Ma et al, 2020). All these studies looked at the impact of EPU on overall market volatility and did not study different sectors separately.…”

Section: Introductionmentioning

confidence: 99%

Economic Policy Uncertainty Versus Sector Volatility: Evidence from India Using Multi-scale Wavelet Granger Causality Analysis

Ambatipudi

Kumar

2022

Journal of Emerging Market Finance

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The present study examines the relationship between Indian economic policy uncertainty (IEPU) and the different sector volatilities (SVs) of the Indian economy over the period 2006–2021. The relationship is studied using a multi-scale correlation framework, combining wavelet coherence analysis with the Granger causality test. The findings indicate a stronger relationship between the IEPU and SV for all sectors during COVID-19, primarily in the medium term. While IEPU led to SV during the global financial crisis (GFC), the SVs led to the IEPU during the COVID-19. However, the Granger causality test provides evidence that, in the long term, the SVs cause the IEPU while the IEPU leads to SV in the short term. The IT sector is crucial as its volatility leads to IEPU across all scales. These results have substantial implications for policymakers and portfolio managers. JEL Codes: G10, G17, G32

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“…Internationally, the efficiency of share price information is influenced by investors' understanding of the long-term relationship between stock market volatility and the uncertainty of international economic policy (Belcaid and Ghini, 2019). A study in France also shows that stock exchanges find it difficult to maintain the efficiency of stock information during global macroeconomic events (Boya, 2019).…”

Section: Literature Review and Hypothesismentioning

confidence: 99%

Does intellectual capital have any influence on stock price crash risk?

Probohudono

Pratiwi

Rochmatullah

2021

JIC

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PurposeThis paper explores the influence between intellectual capital (IC) and the risk of stock price crashes by using company performance as an intervening variable.Design/methodology/approachThis study empirically analyzes the impact of the efficiency of IC on stock price crash risk using a sample size of 152 companies listed on the Indonesia Stock Exchange (IDX) during 2018. To test the research hypotheses, regression analysis and path analysis were applied. In addition, the researchers added exploration to several studies to strengthen the results of this study.FindingsThis study’s findings indicate that investors' optimistic (pessimistic) sentiment regarding stock price volatility has obscured aspects of the financial performance of listed companies. This finding implies that investor sentiment has dominated influence on stock price crash risk so that the aspects of IC are obscured.Originality/valueThis research provides new information that IC disclosure in the stock market needs to include knowledge of the volatility of stock prices in order to reveal stock price crash risk.

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U.S., European, Chinese economic policy uncertainty and Moroccan stock market volatility

Cited by 19 publications

References 50 publications

Susceptibility of Stock Market Returns to International Economic Policy: Evidence from Effective Transfer Entropy of Africa with the Implication for Open Innovation

Susceptibility of Stock Market Returns to International Economic Policy: Evidence from Effective Transfer Entropy of Africa with the Implication for Open Innovation

Economic Policy Uncertainty Versus Sector Volatility: Evidence from India Using Multi-scale Wavelet Granger Causality Analysis

Does intellectual capital have any influence on stock price crash risk?

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