IDEAS home Printed from https://ideas.repec.org/a/mes/chinec/v58y2025i6p477-492.html

Economic Policy Uncertainty and Stock Excess Returns: Firm-Level Evidence from Asia-Pacific Markets

Author

Listed:
  • Dazhi Zheng
  • Huimin Li
  • Thomas C. Chiang

Abstract

This paper discovers a negative impact of economic policy uncertainty (EPU) change on stock excess returns of seven major Asia-Pacific markets spanning from July 1995 to June 2017. The empirical results also show that by including change of US EPU in the regressions, the negative impact of domestic EPU change on stock returns remains and dominates that of US EPU change. The negative relationship is more pronounced during an increasing economic uncertainty state than during a declining one, especially crisis periods. In addition, we find that the negative impact of domestic EPU change on stock returns is generally more pronounced for past winner stocks.

Suggested Citation

  • Dazhi Zheng & Huimin Li & Thomas C. Chiang, 2025. "Economic Policy Uncertainty and Stock Excess Returns: Firm-Level Evidence from Asia-Pacific Markets," Chinese Economy, Taylor & Francis Journals, vol. 58(6), pages 477-492, November.
    • Handle: RePEc:mes:chinec:v:58:y:2025:i:6:p:477-492
    DOI: 10.1080/10971475.2025.2540678
    as

    Download full text from publisher

    File URL: http://hdl.handle.net/10.1080/10971475.2025.2540678
    Download Restriction: Access to full text is restricted to subscribers.
    File URL: https://libkey.io/10.1080/10971475.2025.2540678?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to

    for a different version of it.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:mes:chinec:v:58:y:2025:i:6:p:477-492. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Chris Longhurst (email available below). General contact details of provider: http://www.tandfonline.com/MCES20 .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.