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Policy uncertainty, investor sentiment, and good and bad volatilities in the stock market: Evidence from China

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  • Xiao, Jihong
  • Jiang, Jiajie
  • Zhang, Yaojie

Abstract

This paper investigates the impact of fiscal policy uncertainty (FPU), monetary policy uncertainty (MPU), trade policy uncertainty (TPU), and exchange rate and capital account policy uncertainty (ECPU) on the good and bad volatilities in the Chinese stock market. Considering the pronounced irrational behavior within the Chinese stock market, we also assess the role of investor sentiment in the relationship between these policy uncertainty measures and stock market volatilities. The empirical results show that FPU contributes positively to both good and bad volatilities, MPU and ECPU positively affect bad volatility, whereas TPU has an insignificant effect on any volatilities. Further asymmetric and lagged effects analysis indicates that the impact of FPU, MPU, and ECPU has no asymmetries, with only FPU and MPU displaying lagged effects. Finally, we find that investor sentiment mainly mitigates the positive impact of ECPU on bad volatility.

Suggested Citation

  • Xiao, Jihong & Jiang, Jiajie & Zhang, Yaojie, 2024. "Policy uncertainty, investor sentiment, and good and bad volatilities in the stock market: Evidence from China," Pacific-Basin Finance Journal, Elsevier, vol. 84(C).
    • Handle: RePEc:eee:pacfin:v:84:y:2024:i:c:s0927538x24000544
    DOI: 10.1016/j.pacfin.2024.102303
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    Keywords

    Policy uncertainty; Stock market; Good volatility; Bad volatility; Investor sentiment;
    All these keywords.

    JEL classification:

    • C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
    • G18 - Financial Economics - - General Financial Markets - - - Government Policy and Regulation
    • G41 - Financial Economics - - Behavioral Finance - - - Role and Effects of Psychological, Emotional, Social, and Cognitive Factors on Decision Making in Financial Markets

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