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

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  • Guo, Peng
  • Zhu, Huiming
  • You, Wanhai

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.

Suggested Citation

  • Guo, Peng & Zhu, Huiming & You, Wanhai, 2018. "Asymmetric dependence between economic policy uncertainty and stock market returns in G7 and BRIC: A quantile regression approach," Finance Research Letters, Elsevier, vol. 25(C), pages 251-258.
  • Handle: RePEc:eee:finlet:v:25:y:2018:i:c:p:251-258
    DOI: 10.1016/j.frl.2017.11.001
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    References listed on IDEAS

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    More about this item

    Keywords

    Economic policy uncertainty; Stock market; Asymmetry dependence; Quantile regression;

    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • G18 - Financial Economics - - General Financial Markets - - - Government Policy and Regulation

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