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The impact of own-country, USA and China's economic policy uncertainty on stock market returns: evidence from war, epidemic and financial crisis periods

Author

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  • Hassen Guenichi
  • Hamdi Khalfaoui
  • Néjib Chouaibi

Abstract

The question of the economic policy uncertainty (EPU) and its effects on the stock market returns in shock periods is rarely addressed by the literature. Thus, we are motivated to provide new insights into the study of these effects based on dynamic panel data for own-country, USA and China's economic policy uncertainty over the period 2000Q1 to 2019Q4. These effects are also re-examined in the epidemic, war and financial crisis periods. Indeed, our empirical results show that the nexus between EPU and stock market returns is negative and statistically significant for own-country and has a mixed significant effect for the USA and China. Moreover, the epidemic, war, and financial crisis reduce the negative effects and raise the positive one of EPU on stock market returns in different countries.

Suggested Citation

  • Hassen Guenichi & Hamdi Khalfaoui & Néjib Chouaibi, 2021. "The impact of own-country, USA and China's economic policy uncertainty on stock market returns: evidence from war, epidemic and financial crisis periods," International Journal of Sustainable Economy, Inderscience Enterprises Ltd, vol. 13(2), pages 126-149.
    • Handle: RePEc:ids:ijsuse:v:13:y:2021:i:2:p:126-149
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    Cited by:

    1. Terver Theophilus Kumeka & Olabusuyi Rufus Falayi & Adeniyi Jimmy Adedokun & Francis Olayinka Adeyemi, 2023. "Economic policy uncertainty and exchange market pressure in Nigeria: a quantile regression analysis," International Journal of Sustainable Economy, Inderscience Enterprises Ltd, vol. 15(2), pages 135-166.
    2. Rufei Zhang & Haizhen Zhang & Qingzhu Fan & Wang Gao & Xue Luo & Shixiong Yang, 2022. "Partisan Conflict, National Security Policy Uncertainty and Tourism," Sustainability, MDPI, vol. 14(17), pages 1-22, August.

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