EPU spillovers and stock return predictability: A cross-country study

Gong, Y; He, Z; Xue, W

EPU spillovers and stock return predictability: A cross-country study

Gong, Y He, Z Xue, W

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Publisher:: Elsevier
Publication Type:: Journal Article
Citation:: Journal of International Financial Markets, Institutions and Money, 2022, 78, pp. 101556
Issue Date:: 2022-05-01

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Field	Value	Language
dc.contributor.author	Gong, Y
dc.contributor.author	He, Z
dc.contributor.author	Xue, W
dc.date.accessioned	2023-06-12T06:01:39Z
dc.date.available	2023-06-12T06:01:39Z
dc.date.issued	2022-05-01
dc.identifier.citation	Journal of International Financial Markets, Institutions and Money, 2022, 78, pp. 101556
dc.identifier.issn	1042-4431
dc.identifier.uri	http://hdl.handle.net/10453/170708
dc.description.abstract	Inspired by interconnectedness of economic policy uncertainty EPU across countries this paper applies the high dimensional factor copula model to estimate EPU spillovers as expected probability in distress EPD and examines its effect on stock returns across 23 global markets We find that EPD significantly and negatively predicts country level returns in global markets The predictability is significant for both countries in developed markets and countries in emerging markets by EPD that primarily originates from developed markets Moreover return predictability through the spillover channel is highly significant under various market conditions and dominates that through the domestic channel The spillover effect remains strongly significant after the financial crisis reflecting increased interconnectedness of the post crisis global markets Our results are robust to various model specifications and alternative measures of EPU spillovers 2022 Elsevier B V
dc.language	en
dc.publisher	Elsevier
dc.relation.ispartof	Journal of International Financial Markets, Institutions and Money
dc.relation.isbasedon	10.1016/j.intfin.2022.101556
dc.rights	info:eu-repo/semantics/closedAccess
dc.subject	1402 Applied Economics, 1502 Banking, Finance and Investment
dc.subject.classification	Finance
dc.title	EPU spillovers and stock return predictability: A cross-country study
dc.type	Journal Article
utslib.citation.volume	78
utslib.for	1402 Applied Economics
utslib.for	1502 Banking, Finance and Investment
pubs.organisational-group	/University of Technology Sydney
pubs.organisational-group	/University of Technology Sydney/Faculty of Business
pubs.organisational-group	/University of Technology Sydney/Faculty of Business/Finance Discipline
utslib.copyright.status	closed_access	*
pubs.consider-herdc	false
dc.date.updated	2023-06-12T06:01:38Z
pubs.publication-status	Published
pubs.volume	78

Abstract:

Inspired by interconnectedness of economic policy uncertainty EPU across countries this paper applies the high dimensional factor copula model to estimate EPU spillovers as expected probability in distress EPD and examines its effect on stock returns across 23 global markets We find that EPD significantly and negatively predicts country level returns in global markets The predictability is significant for both countries in developed markets and countries in emerging markets by EPD that primarily originates from developed markets Moreover return predictability through the spillover channel is highly significant under various market conditions and dominates that through the domestic channel The spillover effect remains strongly significant after the financial crisis reflecting increased interconnectedness of the post crisis global markets Our results are robust to various model specifications and alternative measures of EPU spillovers 2022 Elsevier B V

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