The dynamic correlation between policy uncertainty and stock market returns in China

2016 ◽  
Vol 461 ◽  
pp. 92-100 ◽  
Author(s):  
Miao Yang ◽  
Zhi-Qiang Jiang
Keyword(s):  
Stock Market ◽  
Policy Uncertainty ◽  
Market Returns ◽  
Stock Market Returns ◽  
Dynamic Correlation

scholarly journals US Economic Policy Uncertainty and GCC Stock Market Performance

2020 ◽  
Vol 15 (1) ◽  
pp. 223-242
Author(s):  
Saeed Abdullah
Keyword(s):  
Economic Policy ◽  
Saudi Arabia ◽  
Stock Market ◽  
Policy Uncertainty ◽  
Market Returns ◽  
Stock Market Returns ◽  
Economic Policy Uncertainty ◽  
Gcc Countries ◽  
Stock Market Performance ◽  
Economy Policy

AbstractThe study evaluates the effect of economy policy uncertainty of US on gulf cooperation council (GCC) countries’ stock market returns. The GCC countries are Saudi Arabia, Qatar, UAE, Kuwait, Bahrain and Oman. Granger Causality Tests (GCT) was done primarily to evaluate if economy policy uncertainty granger cause on GCC stock market returns. The analysis established that oil prices granger cause stock market returns for Saudi Arabia, Kuwait and UAE; the same is not true on changes in economic policy uncertainty of US cause on the stock market returns. Changes in economy policy uncertainty in US granger causes on stock market returns of Bahrain. On the other hand, economy policy uncertainty in US does not cause stock market returns in Qatar, UAE, Kuwait and Saudi Arabia. Vector Autoregression (VAR) analysis establishes that economy policy uncertainty in US negatively responds to the stock market returns of the GCC countries.

The Impact of US Economic Policy Uncertainty Shock on GCC Stock Market Performance

2019 ◽  
Vol 10 (2) ◽  
Author(s):  
Abdullah Alqahtani ◽  
Michael Taillard
Keyword(s):  
Stock Market ◽  
Granger Causality ◽  
The United States ◽  
Policy Uncertainty ◽  
Market Returns ◽  
Stock Market Returns ◽  
Gcc Countries ◽  
Stock Market Performance ◽  
Oil Markets ◽  
The Impact

Abstract This study examines the impact of the United States’ Economy Policy Uncertainty (US EPU) shocks on the Gulf Cooperation Council (GCC) countries’ stock market returns which are heavily related through global oil markets. Using monthly data spanning from 31/01/2010 to 31/08/2018, we employ a Non-Structural Vector Autoregression (VAR) and Vector Granger Causality Tests (VGCT) in order to ascertain the magnitude of transmitted shocks and to primarily evaluate if US EPU affects stock market returns in any of the GCC countries. Our OLS and VAR results suggest that US EPU has little impact on the GCC markets with the exception of Bahrain. The Vector Granger Causality Test confirms that changes in US EPU influence returns on Qatar’s stock market. These results will help GCC nations to stabilize global energy markets and prevent economic ripples to policy shocks.

scholarly journals The Asian crisis contagion: A dynamic correlation approach analysis

2009 ◽  
Vol 56 (2) ◽  
pp. 241-260 ◽  
Author(s):  
Essahbi Essaadi ◽  
Jamel Jouini ◽  
Wajih Khallouli
Keyword(s):  
Structural Change ◽  
Stock Market ◽  
Structural Break ◽  
Asian Crisis ◽  
Time Varying ◽  
Market Returns ◽  
Stock Market Returns ◽  
Work Shift ◽  
Dynamic Correlation ◽  
Break Points

In this paper we are testing for contagion caused by the Thai baht collapse of July 1997. In line with earlier work, shift-contagion is defined as a structural change within the international propagation mechanisms of financial shocks. We adopt Bai and Perron's (1998) structural break approach in order to detect the endogenous break points of the pair-wise time-varying correlations between Thailand and seven Asian stock market returns. Our approach enables us to solve the misspecification problem of the crisis window. Our results illustrate the existence of shift-contagion in the Asian crisis caused by the crisis in Thailand.

scholarly journals Economic Policy Uncertainty and Stock Market Spillovers: Case of Selected CEE Markets

Mathematics ◽  
2020 ◽  
Vol 8 (7) ◽  
pp. 1077 ◽  
Author(s):  
Tihana Škrinjarić ◽  
Zrinka Orlović
Keyword(s):  
Economic Policy ◽  
Stock Market ◽  
Spillover Effects ◽  
Policy Uncertainty ◽  
Market Returns ◽  
Stock Market Returns ◽  
Economic Policy Uncertainty ◽  
Dynamic Estimation ◽  
International Investors ◽  
First Time

Rising political and economic uncertainty over the world affects all participants on different markets, including stock markets. Recent research has shown that these effects are significant and should not be ignored. This paper estimates the spillover effects of shocks in the economic policy uncertainty (EPU) index and stock market returns and risks for selected Central and Eastern European markets (Bulgaria, Czech Republic, Estonia, Hungary, Lithuania, Poland, Croatia, Slovakia and Slovenia). Based on rolling estimations of the vector autoregression (VAR) model and the Spillover Indices, detailed insights are obtained on the sources of shock spillovers between the variables in the system. Recommendations are given based on the results both for policymakers and international investors. The contribution of the paper consists of the dynamic estimation approach, alongside allowing for the feedback relationship between the variables of interest, as well as examining the mentioned spillovers for the first time for majority of the observed countries.

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