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The Stock Price Impact of Domestic and Foreign Economic Policy Uncertainty: Evidence from China

Author

Listed:
  • Chin Chia Liang

    (Department of Finance, Da-Yeh University)

  • Carol Troy

    (International College, Tunghai University)

  • Ellen Rouyer

    (College of Management, Tunghai University)

Abstract

Utilizing the nonlinear autoregressive distributed lag (NARDL) approach (Shin, Yu, & Greenwood-Nimmo, 2014), we compare Chinese stock price responses to movements in U.S. and Chinese economic policy uncertainty (EPU). We find that Chinese stock prices react countercyclically to movements in U.S. uncertainty, but not Chinese uncertainty. They exhibit negative long- and short-run asymmetry (overshooting) in response to U.S. EPU shocks, but not Chinese EPU shocks, reflecting the importance of U.S. consumption to the performance of Chinese exporters.

Suggested Citation

  • Chin Chia Liang & Carol Troy & Ellen Rouyer, 2020. "The Stock Price Impact of Domestic and Foreign Economic Policy Uncertainty: Evidence from China," Economics Bulletin, AccessEcon, vol. 40(2), pages 1747-1755.
    • Handle: RePEc:ebl:ecbull:eb-20-00167
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    References listed on IDEAS

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    More about this item

    Keywords

    asymmetric; EPU; uncertain economic conditions; nonlinear ARDL;
    All these keywords.

    JEL classification:

    • F3 - International Economics - - International Finance

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