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

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,...

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Bibliographic Details
Published in:Applied economics letters 2022-05, Vol.29 (9), p.780-784
Main Authors: Huang, Wei-Qiang, Liu, Peipei
Format: Article
Language:English
Subjects:
asymmetric effects
Asymmetry
Changes
Economic analysis
Economic policy
Economic policy uncertainty
Economic theory
Economics
Effects
G7 stock returns
quantile regression
Rates of return
Securities markets
Stock exchanges
Stocks
Uncertainty
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Summary: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.
ISSN:1350-4851
1466-4291
DOI:10.1080/13504851.2021.1885606