Economic policy uncertainty, COVID-19 lockdown, and firm-level volatility: Evidence from China

被引：21
|
作者：
Yang, Jianlei [1 ]
Yang, Chunpeng [1 ]
机构：
[1] South China Univ Technol, Finance & Secur Ctr, Sch Econ & Commerce, Guangzhou 510006, Peoples R China
来源：
PACIFIC-BASIN FINANCE JOURNAL | 2021年 / 68卷
基金：
中国国家自然科学基金;
关键词：
Economic policy uncertainty; Firm-level volatility; COVID-19; pandemic; Difference in difference estimation; POLITICAL UNCERTAINTY; INVESTMENT EVIDENCE; RETURNS; IMPACT;
D O I：
10.1016/j.pacfin.2021.101597
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
To explain how firm-level volatility responds to the COVID-19 pandemic shock through the economic policy uncertainty (EPU) channel, we examine the two-dimension variations of stock volatility under the impact of COVID-19 pandemic and two types of EPU: measured by comprehensive newspapers news and financial newspapers news. The results, based on a difference in difference (DID) estimation, suggest a significant additional increase in the volatility of stocks with a higher degree of sensitivity to EPU after the announcement of the COVID-19 pandemic lockdown. Moreover, this effect is most pronounced for consumer, less-profitable, and high leverage stocks. Further multi-period analyses indicate that the impact of EPU associated with pandemic takes effect at the time of lockdown announcement and persist for a shortterm trend.
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页数：15
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