Economic Policy Uncertainty and Investor Sentiment: linear and nonlinear causality analysis

被引：27
|
作者：
Zhang, Bing [1 ]
机构：
[1] Nanjing Univ, Sch Business, Nanjing, Jiangsu, Peoples R China
来源：
APPLIED ECONOMICS LETTERS | 2019年 / 26卷 / 15期
关键词：
Economic policy uncertainty index; investor sentiment; Granger test; linear; GRANGER CAUSALITY;
D O I：
10.1080/13504851.2018.1545073
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
In this paper, we study the relationship between economic policy uncertainty and investor sentiment. US data were analysed based on linear and non-linear Granger causality analysis. We reveal the obvious impact that economic policy uncertainty has on the investor sentiment, which can be explained by the real option and financial constraint theory.
引用
收藏
页码：1264 / 1268
页数：5
相关论文
共 50 条
  • [41] Dual effects of investor sentiment and uncertainty in financial markets
    Seok, Sangik
    Cho, Hoon
    Ryu, Doojin
    [J]. QUARTERLY REVIEW OF ECONOMICS AND FINANCE, 2024, 95 : 300 - 315
  • [42] Investor attention and oil market volatility: Does economic policy uncertainty matter?
    Xiao, Jihong
    Wang, Yudong
    [J]. ENERGY ECONOMICS, 2021, 97
  • [43] Economic policy uncertainty, investor attention and post-earnings announcement drift
    Du, Xiuli
    Ao, Zhu
    Chai, Yiwei
    Ge, Shilong
    [J]. INTERNATIONAL REVIEW OF FINANCIAL ANALYSIS, 2023, 87
  • [44] INSTITUTIONAL INVESTOR, ECONOMIC POLICY UNCERTAINTY, AND INNOVATION INVESTMENT: EVIDENCE FROM CHINA
    Dou, Zhenjiang
    Wei, Lei
    Wang, Jingyi
    [J]. E & M EKONOMIE A MANAGEMENT, 2021, 24 (01): : 4 - 20
  • [45] Economic policy uncertainty, investor sentiment and financial stability-an empirical study based on the time varying parameter-vector autoregression model
    Qi, Xin-Zhou
    Ning, Zhong
    Qin, Meng
    [J]. JOURNAL OF ECONOMIC INTERACTION AND COORDINATION, 2022, 17 (03) : 779 - 799
  • [46] Nonlinear analysis of economic policy uncertainty: Based on the data in China, the US and the global
    Gu, Rongbao
    Liu, Shengnan
    [J]. PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS, 2022, 593
  • [47] Monetary policy uncertainty and investor expectations
    Sinha, Arunima
    [J]. JOURNAL OF MACROECONOMICS, 2016, 47 : 188 - 199
  • [48] Do climate policy uncertainty and investor sentiment drive the dynamic spillovers among green finance markets?
    Wu, Ruirui
    Liu, Bing-Yue
    [J]. JOURNAL OF ENVIRONMENTAL MANAGEMENT, 2023, 347
  • [49] Economic Policy Uncertainty and Industrial Linkage in Japan: A Granger Causality in Quantile Test
    Long, Trinh Q.
    Morgan, Peter
    [J]. EMERGING MARKETS FINANCE AND TRADE, 2023, 59 (02) : 561 - 588
  • [50] Economic policy uncertainty in US and Europe: time-varying Granger causality
    Mladenovic, Zorica
    [J]. APPLIED ECONOMICS LETTERS, 2023, 30 (20) : 2913 - 2920
12345