Asymmetric dependence between economic policy uncertainty and stock market returns in G7 and BRIC: A quantile regression approach - Details

author：

Guo Peng (Guo Peng.) ^[1] | Zhu Huiming (Zhu Huiming.) ^[2] | You Wanhai (You Wanhai.) ^[3] (Scholars：游万海)

Indexed by：

SSCI Scopus

Abstract：

This　paper　employs　the　quantile　regression　techniques　to　examine　the　dependence　structure　between　economic　policy　uncertainty　(EPU)　and　stock　market　returns　in　G7　and　BRIC.　We　find　new　evidence　to　support　the　view　that　EPU　will　reduce　stock　market　returns,　with　the　exception　of　France　and　the　UK.　Our　results　show　that　eight　out　of　ten　stock　markets　reveal　asymmetric　dependence　with　EPU.　Moreover,　there　is　no　dependence　between　EPU　and　France/the　UK　stock　market.

Keyword：

Asymmetry dependence Economic policy uncertainty Quantile regression Stock market

Community：

[ 1 ] [Guo Peng]Henan Univ Technol, Sch Econ & Trade, Zhengzhou 450001, Henan, Peoples R China
[ 2 ] [Guo Peng]Hunan Univ, Coll Business Adm, Changsha 410082, Hunan, Peoples R China
[ 3 ] [Zhu Huiming]Hunan Univ, Coll Business Adm, Changsha 410082, Hunan, Peoples R China
[ 4 ] [You Wanhai]Fuzhou Univ, Sch Econ & Management, Fuzhou 350116, Fujian, Peoples R China

Reprint 's Address：

[Guo Peng]Henan Univ Technol, Sch Econ & Trade, Zhengzhou 450001, Henan, Peoples R China;;[Guo Peng]Hunan Univ, Coll Business Adm, Changsha 410082, Hunan, Peoples R China

Email：

guophnufe@163.com |
zhuhuiminghnu@sina.com |
524732473@qq.com

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