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Asymmetric effects of economic policy uncertainty on stock returns under different market conditions: evidence from G7 stock markets

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  • Wei-Qiang Huang
  • Peipei Liu

Abstract

This article applies quantile regression approaches to investigate the asymmetric effects of economic policy uncertainty (EPU) on G7 stock returns by dividing EPU changes into EPU increases and EPU decreases. We observe that EPU increases have greater impacts on G7 stock returns than EPU decreases, which confirms that asymmetric effects do exist. Furthermore, our results show that EPU changes have asymmetric impacts on Japan, Canada, the UK, and the US stock returns in the bearish market but not in the bullish market. In addition, there are no asymmetric effects of EPU changes on Germany stock returns.

Suggested Citation

  • Wei-Qiang Huang & Peipei Liu, 2022. "Asymmetric effects of economic policy uncertainty on stock returns under different market conditions: evidence from G7 stock markets," Applied Economics Letters, Taylor & Francis Journals, vol. 29(9), pages 780-784, May.
    • Handle: RePEc:taf:apeclt:v:29:y:2022:i:9:p:780-784
    DOI: 10.1080/13504851.2021.1885606
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    Cited by:

    1. Salah A. Nusair & Jamal A. Al-Khasawneh, 2023. "Changes in oil price and economic policy uncertainty and the G7 stock returns: evidence from asymmetric quantile regression analysis," Economic Change and Restructuring, Springer, vol. 56(3), pages 1849-1893, June.
    2. Oluwatomisin J. Oyewole & Idowu A. Adubiagbe & Oluwasegun B. Adekoya, 2022. "Economic policy uncertainty and stock returns among OPEC members: evidence from feasible quasi-generalized least squares," Future Business Journal, Springer, vol. 8(1), pages 1-10, December.
    3. Cristiane Gea & Marcelo Cabus Klotzle & Luciano Vereda & Antonio Carlos Figueiredo Pinto, 2023. "Pricing uncertainty in the Brazilian stock market: do size and sustainability matter?," SN Business & Economics, Springer, vol. 3(1), pages 1-37, January.

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