Journal article
Economic Policy Uncertainty and Stock Excess Returns: Firm-Level Evidence from Asia-Pacific Markets
The Chinese economy, pp 1-16
23 Aug 2025
PMID: 40411301
Featured in Collection : UN Sustainable Development Goals @ Drexel
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.
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Details
- Title
- Economic Policy Uncertainty and Stock Excess Returns: Firm-Level Evidence from Asia-Pacific Markets
- Creators
- Dazhi Zheng - West Chester UniversityHuimin Li - West Chester UniversityThomas C. Chiang - Drexel University
- Publication Details
- The Chinese economy, pp 1-16
- Publisher
- Taylor & Francis
- Number of pages
- 16
- Resource Type
- Journal article
- Language
- English
- Academic Unit
- Finance
- Web of Science ID
- WOS:001555413600001
- Scopus ID
- 2-s2.0-105014120749
- Other Identifier
- 991022084611004721
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- Collaboration types
- Domestic collaboration
- Web of Science research areas
- Economics