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Journal article
Evidence of Economic Policy Uncertainty and COVID-19 Pandemic on Global Stock Returns
Journal of risk and financial management, v 15(1), pp 1-24
01 Jan 2022
Featured in Collection : UN Sustainable Development Goals @ Drexel
Abstract
This paper examines the impact of changes in economic policy uncertainty (EPU) and COVID-19 shock on stock returns. Tests of 16 global stock market indices, using monthly data from January 1990 to August 2021, suggest a negative relation between the stock return and a country's EPU. Evidence suggests that a rise in the U.S. EPU causes not only a decline in a country's stock return, but also a negative spillover effect on the global market; however, we cannot find a comparable negative effect from global EPU to U.S. stocks. Evidence suggests that the COVID-19 pandemic has a negative impact that significantly affects stock return worldwide. This study also finds an indirect COVID-19 impact that runs through a change in domestic EPU and, in turn, affects stock return. Evidence shows significant COVID-19 effects that change relative stock returns between the U.S. and global markets, creating a decoupling phenomenon.
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Details
- Title
- Evidence of Economic Policy Uncertainty and COVID-19 Pandemic on Global Stock Returns
- Creators
- Thomas Chinan Chiang - Drexel University
- Publication Details
- Journal of risk and financial management, v 15(1), pp 1-24
- Publisher
- Mdpi
- Number of pages
- 24
- Resource Type
- Journal article
- Language
- English
- Academic Unit
- [Retired Faculty]
- Web of Science ID
- WOS:000757282200001
- Scopus ID
- 2-s2.0-85129250179
- Other Identifier
- 991019167696304721
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- Web of Science research areas
- Business, Finance