The impact of economic policy uncertainty on volatility of China's financial stocks: An empirical analysis

被引：18

作者：

Wang, Xinyu ^{[1
]}

Luo, Yi ^{[1
]}

Wang, Zhuqing ^{[1
]}

Xu, Yan ^{[1
]}

Wu, Congxin ^{[1
]}

机构：

[1] China Univ Min & Technol, Sch Econ & Management, 1 Daxue Rd, Xuzhou 221116, Jiangsu, Peoples R China

来源：

FINANCE RESEARCH LETTERS | 2021年 / 39卷

基金：

中国国家自然科学基金;

关键词：

MIDAS; Mixed frequency; Economic policy uncertainty; Financial stocks; Skewed T-distribution;

D O I：

10.1016/j.frl.2020.101650

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

We modify the GARCH-MIDAS model by introducing a skewed T-distribution and employ it to study the impact of economic policy uncertainties on the volatility of China's financial stocks between 2000-2019. The modified model improves the fit to the data compared to the standard model with a Gaussian distribution. We find that economic policy uncertainties worldwide and in the European Union, Japan, Russia, Brazil, Canada, and China are negatively correlated with the long-term component of volatility of China's financial stocks. The heightened uncertainty in the US economic policy since 2017 has had a negative impact on the volatility of China's financial stocks.

引用

页数：12

共 50 条

[31] Economic policy uncertainty and volatility of treasury futures
Maojun Zhang
Yang Zhao
Jiangxia Nan
Review of Derivatives Research, 2022, 25 : 93 - 107
[32] Assessing the Impact of Aluminum Options on Futures Market Volatility: An Empirical Study of China's Financial Markets
Zhang, Xiaoyi
Sarmidi, Tamat
Chai, Yongxu
SAGE OPEN, 2025, 15 (01):
[33] Economic policy uncertainty and stock market volatility
Liu, Li
Zhang, Tao
FINANCE RESEARCH LETTERS, 2015, 15 : 99 - 105
[34] Economic Policy Uncertainty and Exchange Rate Volatility
Krol, Robert
INTERNATIONAL FINANCE, 2014, 17 (02) : 241 - 256
[35] Economic policy uncertainty and volatility of treasury futures
Zhang, Maojun
Zhao, Yang
Nan, Jiangxia
REVIEW OF DERIVATIVES RESEARCH, 2022, 25 (01) : 93 - 107
[36] Empirical Analysis of the Impact of China's Foreign Trade on Economic Growth in China
Wang Lijuan
Xu Ye
PROCEEDINGS OF 2010 INTERNATIONAL SYMPOSIUM ON ECONOMIC DEVELOPMENT AND ENGINEERING MANAGEMENT, 2010, : 193 - 196
[37] Election uncertainty, economic policy uncertainty and financial market uncertainty: A prediction market analysis
Goodell, John W.
McGee, Richard J.
McGroarty, Frank
JOURNAL OF BANKING & FINANCE, 2020, 110
[38] The effects of economic uncertainty on financial volatility: A comprehensive investigation
Tong, Chen
Huang, Zhuo
Wang, Tianyi
Zhang, Cong
JOURNAL OF EMPIRICAL FINANCE, 2023, 73 : 369 - 389
[39] Analysis of China's Financial Credit Development Impact on Economic Growth
Dan, Xianyu
Fan, Yang
RECENT ADVANCE IN STATISTICS APPLICATION AND RELATED AREAS, VOLS I AND II, 2009, : 2137 - 2140
[40] A Quantile-based Empirical Research of CAPM in China's Financial Stocks
Weng Ya-min
Wang Xin-yu
2008 INTERNATIONAL CONFERENCE ON MANAGEMENT SCIENCE & ENGINEERING (15TH), VOLS I AND II, CONFERENCE PROCEEDINGS, 2008, : 1264 - 1268

← 1 2 3 4 5 →