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Economic Policy Uncertainty and the Energy Stock Market - Evidence From China

Author

Listed:
  • Yumiao Wang
  • Dongmin Kong

    (School of Economics, Huazhong University of Science and Technology)

Abstract

This paper focuses on the relation between China’s economic policy uncertainty and the energy stock market. Based on monthly data from July 2007 to June 2021, we use a structural vector autoregression model to investigate the effect of economic policy uncertainty. We find that economic policy uncertainty has a negative effect on the energy stock market in China. In addition, the energy stock market is positively affected by the country’s overall stock market.

Suggested Citation

  • Yumiao Wang & Dongmin Kong, 2022. "Economic Policy Uncertainty and the Energy Stock Market - Evidence From China," Energy RESEARCH LETTERS, Asia-Pacific Applied Economics Association, vol. 3(1), pages 1-4.
    • Handle: RePEc:ayb:jrnerl:51
    DOI: 2022/03/05
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    References listed on IDEAS

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    1. Scott R. Baker & Nicholas Bloom & Steven J. Davis, 2016. "Measuring Economic Policy Uncertainty," The Quarterly Journal of Economics, President and Fellows of Harvard College, vol. 131(4), pages 1593-1636.
    2. Ben S. Bernanke, 1983. "Irreversibility, Uncertainty, and Cyclical Investment," The Quarterly Journal of Economics, President and Fellows of Harvard College, vol. 98(1), pages 85-106.
    3. Jonathan Brogaard & Andrew Detzel, 2015. "The Asset-Pricing Implications of Government Economic Policy Uncertainty," Management Science, INFORMS, vol. 61(1), pages 3-18, January.
    4. Nicholas Bloom, 2009. "The Impact of Uncertainty Shocks," Econometrica, Econometric Society, vol. 77(3), pages 623-685, May.
    5. Shafiullah, Muhammad & Miah, Mohammad Dulal & Alam, Md Samsul & Atif, Muhammad, 2021. "Does economic policy uncertainty affect renewable energy consumption?," Renewable Energy, Elsevier, vol. 179(C), pages 1500-1521.
    6. Isaac Appiah-Otoo, 2021. "Impact of Economic Policy Uncertainty on Renewable Energy Growth," Energy RESEARCH LETTERS, Asia-Pacific Applied Economics Association, vol. 2(1), pages 1-5.
    7. Yu, Honghai & Fang, Libing & Du, Donglei & Yan, Panpan, 2017. "How EPU drives long-term industry beta," Finance Research Letters, Elsevier, vol. 22(C), pages 249-258.
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    Citations

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    Cited by:

    1. Yin, Zhujia & Deng, Rantian & Xia, Jiejin & Zhao, Lili, 2024. "Climate risk and corporate ESG performance: Evidence from China," The North American Journal of Economics and Finance, Elsevier, vol. 74(C).
    2. Wen, Huwei & Lee, Chien-Chiang & Zhou, Fengxiu, 2022. "How does fiscal policy uncertainty affect corporate innovation investment? Evidence from China's new energy industry," Energy Economics, Elsevier, vol. 105(C).
    3. Huang, Ying Sophie & Wu, Jiajia & Guo, Feng, 2022. "Venture capital staging under economic policy uncertainty," International Review of Economics & Finance, Elsevier, vol. 78(C), pages 572-596.
    4. Mohammad Enamul Hoque & Sourav Batabyal, 2022. "Carbon Futures and Clean Energy Stocks: Do They Hedge or Safe Haven against the Climate Policy Uncertainty?," JRFM, MDPI, vol. 15(9), pages 1-11, September.
    5. Seyed Alireza Athari & Dervis Kirikkaleli, 2025. "How do climate policy uncertainty and renewable energy and clean technology stock prices co-move? evidence from Canada," Empirical Economics, Springer, vol. 68(1), pages 353-371, January.
    6. Ijaz Younis & Himani Gupta & Waheed Ullah Shah & Arshian Sharif & Xuan Tang, 2024. "The Effects of Economic Uncertainty and Trade Policy Uncertainty on Industry-Specific Stock Markets Equity," Computational Economics, Springer;Society for Computational Economics, vol. 64(5), pages 2909-2933, November.
    7. Deniz AYTAÇ, 2023. "Global Economic Policy Uncertainty and Energy Prices: A Markov-Switching VAR Approach," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(3), pages 40-61, October.
    8. Rafael Alvarado & Cristian Ortiz & Lizeth Cuesta & Brayan Tillaguango, 2023. "Spillovers impact of institutional and economic factors in energy intensity," Sustainable Development, John Wiley & Sons, Ltd., vol. 31(3), pages 1805-1823, June.
    9. Abiodun Moses Adetokunbo & Afe Success Mevhare, 2024. "The interconnectivity between green stocks, oil prices, and uncertainty surrounding economic policy: indications from the United States," SN Business & Economics, Springer, vol. 4(2), pages 1-26, February.

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    Keywords

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    JEL classification:

    • Q43 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy - - - Energy and the Macroeconomy
    • D81 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Criteria for Decision-Making under Risk and Uncertainty
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates

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