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The Causal Relationship Between Economic Policy Uncertainty and Stock Returns in China and India: Evidence from a Bootstrap Rolling Window Approach
16 references·16 citing·40 second hopsampled
The Causal Relationship Between Economic Policy Uncertainty and Stock Returns in China and India: Evidence from a Bootstrap Rolling Window Approach (2015)The Causal Relationship Between Economic …Political uncertainty and risk premia (2013)Political uncertainty and ris…Uncertainty about Government Policy and Stock Prices (2012)Uncertainty about Government …The Impact of Uncertainty Shocks (2009)The Impact of Uncertainty Sho…The Impact of Uncertainty Shocks (2007)The Impact of Uncertainty Sho…LAG Length Selection and the Construction of Unit Root Tests with Good Size and Power (2001)LAG Length Selection and the …Statistical inference in vector autoregressions with possibly integrated processes (1995)Statistical inference in vect…Vector Autoregressions and Causality (1993)Vector Autoregressions and Ca…Tests for Parameter Instability and Structural Change With Unknown Change Point (1993)Tests for Parameter Instabili…Tests for Parameter Instability in Regressions with 1(1) Processes (1992)Tests for Parameter Instabili…Testing the null hypothesis of stationarity against the alternative of a unit root (1992)Testing the null hypothesis o…Policy uncertainty and private investment in developing countries (1991)Policy uncertainty and privat…Statistical Inference in Instrumental Variables Regression with I(1) Processes (1990)Statistical Inference in Inst…Inference in Linear Time Series Models with some Unit Roots (1990)Inference in Linear Time Seri…Testing for the Constancy of Parameters Over Time (1989)Testing for the Constancy of …Entry and Exit Decisions under Uncertainty (1989)Entry and Exit Decisions unde…Irreversibility, Uncertainty, and Cyclical Investment (1980)Irreversibility, Uncertainty,…Effects of climate policy uncertainty on sustainable investment: a dynamic analysis for the U.S (2023)Effects of climate policy unc…ON THE RELATIONSHIP BETWEEN ECONOMIC POLICY UNCERTAINTY, GEOPOLITICAL RISK AND STOCK MARKET RETURNS IN SOUTH KOREA: A QUANTILE CAUSALITY ANALYSIS (2022)ON THE RELATIONSHIP BETWEEN E…Geopolitical risk, economic policy uncertainty and asset returns in Chinese financial markets (2021)Geopolitical risk, economic p…Economic policy uncertainty nexus with corporate risk-taking: The role of state ownership and corruption expenditure (2021)Economic policy uncertainty n…Economic policy uncertainty and corporate innovation: Evidence from China (2021)Economic policy uncertainty a…How oil prices, gold prices, uncertainty and risk impact Islamic and conventional stocks? Empirical evidence from QARDL technique (2020)How oil prices, gold prices, …Coronavirus (Covid-19) outbreak, investor sentiment, and medical portfolio: Evidence from China, Hong Kong, Korea, Japan, and U.S (2020)Coronavirus (Covid-19) outbre…Geopolitical risk, uncertainty and Bitcoin investment (2019)Geopolitical risk, uncertaint…Determinants of within and cross-country economic policy uncertainty spillovers: Evidence from US and China (2019)Determinants of within and cr…Does economic policy uncertainty influence gold prices? Evidence from a nonparametric causality-in-quantiles approach (2018)Does economic policy uncertai…Oil price shocks and policy uncertainty: New evidence on the effects of US and non-US oil production (2017)Oil price shocks and policy u…Dynamics of international spillovers and interaction: Evidence from financial market stress and economic policy uncertainty (2017)Dynamics of international spi…The interactive relationship between the US economic policy uncertainty and BRIC stock markets (2016)The interactive relationship …Impact of US uncertainties on emerging and mature markets: Evidence from a quantile-vector autoregressive approach (2016)Impact of US uncertainties on…Does Economic Policy Uncertainty Predict Exchange Rate Returns and Volatility? Evidence from a Nonparametric Causality-in-Quantiles Test (2016)Does Economic Policy Uncertai…Oil shocks, policy uncertainty and stock returns in China (2015)Oil shocks, policy uncertaint…Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Distribution of the Estimators for Autoregressive Time Series With a Unit Root (1979)Testing for a Unit Root in Time Series Regression (1988)A Comparative Study of Unit Root Tests with Panel Data and a New Simple Test (1999)Unit root tests for panel data (2001)Modelling Asymmetric Cointegration and Dynamic Multipliers in a Nonlinear ARDL Framework (2014)Time Series Regression with a Unit Root (1987)A Simple Estimator of Cointegrating Vectors in Higher Order Integrated Systems (1993)An Autoregressive Distributed-Lag Modelling Approach to Cointegration Analysis (2012)Understanding business cycles (1977)The Value of Waiting to Invest (1982)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Policy Uncertainty and Corporate Investment (2015)Statistical analysis of cointegration vectors (1988)Tourism as a long-run economic growth factor: the Spanish case (2002)Energy consumption, income, and carbon emissions in the United States (2006)Energy consumption, carbon emissions, and economic growth in China (2009)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)MAXIMUM LIKELIHOOD ESTIMATION AND INFERENCE ON COINTEGRATION — WITH APPLICATIONS TO THE DEMAND FOR MONEY (1990)Investment in Human Capital: A Theoretical Analysis (1962)Evaluating Natural Resource Investments (1985)Irreversibility, Uncertainty, and Investment (1990)Operating Flexibility, Global Manufacturing, and the Option Value of a Multinational Network (1994)Theory of rational option pricing (2005)The Asset-Pricing Implications of Government Economic Policy Uncertainty (2015)Inference About the Change-Point in a Sequence of Random Variables (1970)Further Evidence on the Great Crash, the Oil-Price Shock, and the Unit-Root Hypothesis (1992)What is an Oil Shock? (2000)Further Evidence on the Great Crash, the Oil-Price Shock, and the Unit-Root Hypothesis (2002)Tobin's Marginal q and Average q: A Neoclassical Interpretation (1982)Nominal Rigidities and the Dynamic Effects of a Shock to Monetary Policy (2005)Measuring Uncertainty (2015)Measuring Economic Policy Uncertainty* (2016)Measuring Geopolitical Risk (2022)Efficient Tests for an Autoregressive Unit Root (1996)A PANIC Attack on Unit Roots and Cointegration (2004)Economic growth, energy consumption, financial development, international trade and CO2 emissions in Indonesia (2013)Protection For Sale (1992)Distributive Politics and Economic Growth (1994)Carbon Tail Risk (2018)
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References

  • 1992Testing the null hypothesis of stationarity against the alternative of a unit root12,634 cited
  • 1995Statistical inference in vector autoregressions with possibly integrated processes6,097 cited
  • 2009The Impact of Uncertainty Shocks5,941 cited
  • 1990Statistical Inference in Instrumental Variables Regression with I(1) Processes4,930 cited
  • 1993Tests for Parameter Instability and Structural Change With Unknown Change Point4,325 cited
  • 1980Irreversibility, Uncertainty, and Cyclical Investment4,130 cited
  • 2001LAG Length Selection and the Construction of Unit Root Tests with Good Size and Power3,944 cited
  • 1990Inference in Linear Time Series Models with some Unit Roots2,561 cited
  • 2013Political uncertainty and risk premia2,375 cited
  • 1989Entry and Exit Decisions under Uncertainty2,356 cited
  • 2012Uncertainty about Government Policy and Stock Prices2,327 cited
  • 2007The Impact of Uncertainty Shocks2,111 cited
  • 1989Testing for the Constancy of Parameters Over Time973 cited
  • 1992Tests for Parameter Instability in Regressions with 1(1) Processes944 cited
  • 1991Policy uncertainty and private investment in developing countries869 cited

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  • 1993Vector Autoregressions and Causality867 cited
  • Cited by

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    • 2019Geopolitical risk, uncertainty and Bitcoin investment163 cited
    • 2018Does economic policy uncertainty influence gold prices? Evidence from a nonparametric causality-in-quantiles approach144 cited
    • 2021Economic policy uncertainty and corporate innovation: Evidence from China136 cited
    • 2017Dynamics of international spillovers and interaction: Evidence from financial market stress and economic policy uncertainty134 cited
    • 2021Geopolitical risk, economic policy uncertainty and asset returns in Chinese financial markets132 cited
    • 2015Oil shocks, policy uncertainty and stock returns in China128 cited
    • 2021Economic policy uncertainty nexus with corporate risk-taking: The role of state ownership and corruption expenditure122 cited
    • 2022ON THE RELATIONSHIP BETWEEN ECONOMIC POLICY UNCERTAINTY, GEOPOLITICAL RISK AND STOCK MARKET RETURNS IN SOUTH KOREA: A QUANTILE CAUSALITY ANALYSIS119 cited
    • 2020How oil prices, gold prices, uncertainty and risk impact Islamic and conventional stocks? Empirical evidence from QARDL technique117 cited
    • 2020Coronavirus (Covid-19) outbreak, investor sentiment, and medical portfolio: Evidence from China, Hong Kong, Korea, Japan, and U.S107 cited
    • 2023Effects of climate policy uncertainty on sustainable investment: a dynamic analysis for the U.S102 cited
    • 2019Determinants of within and cross-country economic policy uncertainty spillovers: Evidence from US and China101 cited
    • 2016Impact of US uncertainties on emerging and mature markets: Evidence from a quantile-vector autoregressive approach100 cited