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Evidence of Economic Policy Uncertainty and COVID-19 Pandemic on Global Stock Returns
| Content Provider | MDPI |
|---|---|
| Author | Chiang, Thomas Chinan |
| Copyright Year | 2022 |
| Description | This paper examines the impact of changes in economic policy uncertainty (EPU) and COVID-19 shock on stock returns. Tests of 16 global stock market indices, using monthly data from January 1990 to August 2021, suggest a negative relation between the stock return and a country’s EPU. Evidence suggests that a rise in the U.S. EPU causes not only a decline in a country’s stock return, but also a negative spillover effect on the global market; however, we cannot find a comparable negative effect from global EPU to U.S. stocks. Evidence suggests that the COVID-19 pandemic has a negative impact that significantly affects stock return worldwide. This study also finds an indirect COVID-19 impact that runs through a change in domestic EPU and, in turn, affects stock return. Evidence shows significant COVID-19 effects that change relative stock returns between the U.S. and global markets, creating a decoupling phenomenon. |
| Starting Page | 28 |
| e-ISSN | 19118074 |
| DOI | 10.3390/jrfm15010028 |
| Journal | Journal of Risk and Financial Management |
| Issue Number | 1 |
| Volume Number | 15 |
| Language | English |
| Publisher | MDPI |
| Publisher Date | 2022-01-10 |
| Access Restriction | Open |
| Subject Keyword | Journal of Risk and Financial Management Mathematical Social Sciences Economic Policy Uncertainty Covid-19 Equity Market Volatility Garch Model Global Market Uncertainty Premium |
| Content Type | Text |
| Resource Type | Article |
