Asymmetric dependence between economic policy uncertainty and stock market returns in G7 and BRIC: A quantile regression approach

被引：110
|
作者：
Guo Peng [1 ,2 ]
Zhu Huiming [2 ]
You Wanhai [3 ]
机构：
[1] Henan Univ Technol, Sch Econ & Trade, Zhengzhou 450001, Henan, Peoples R China
[2] Hunan Univ, Coll Business Adm, Changsha 410082, Hunan, Peoples R China
[3] Fuzhou Univ, Sch Econ & Management, Fuzhou 350116, Fujian, Peoples R China
来源：
FINANCE RESEARCH LETTERS | 2018年 / 25卷
基金：
中国国家自然科学基金;
关键词：
Economic policy uncertainty; Stock market; Asymmetry dependence; Quantile regression; MODEL;
D O I：
10.1016/j.frl.2017.11.001
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
This paper employs the quantile regression techniques to examine the dependence structure between economic policy uncertainty (EPU) and stock market returns in G7 and BRIC. We find new evidence to support the view that EPU will reduce stock market returns, with the exception of France and the UK. Our results show that eight out of ten stock markets reveal asymmetric dependence with EPU. Moreover, there is no dependence between EPU and France/the UK stock market.
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页码：251 / 258
页数：8
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