Economic policy uncertainty and stock market sector time-varying spillover effect: Evidence from China |
| |
Affiliation: | 1. Business School, Shandong University, Weihai, PR China;2. School of Statistics and Mathematics, Zhongnan University of Economics and Law, Wuhan, PR China;3. School of Business, College of Huaihua, Huaihua, PR China;4. School of Economics and Finance, Xi''an Jiaotong University, Xi''an, PR China |
| |
Abstract: | This paper investigates the volatility spillover effect among the Chinese economic policy uncertainty index, stock markets, gold and oil by employing the time-varying parameter vector autoregressive (TVP-VAR) model. Three main results are obtained. Firstly, the optional consumption, industry, public utility and financial sectors are systemically important during the sample period. Secondly, among the four policy uncertainties, the uncertainty of fiscal policy and trade policy contributes more to the spillover effect, while the uncertainty of monetary policy and exchange rate policy contributes less to the spillover effect. Thirdly, during COVID-19, oil spillovers from other sources dropped rapidly to a very low point, it also had a significant impact on the net volatility spillover of the stock market. This paper can provide policy implication for decision-makers and reasonable risk aversion methods for investors. |
| |
Keywords: | Volatility spillover Economic policy uncertainty Stock market sector TVP-VAR |
本文献已被 ScienceDirect 等数据库收录! |
|