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

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