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US Economic Policy Uncertainty and Co-Movements between Chinese and US Stock Markets
16 references·16 citing·50 second hopsampled
US Economic Policy Uncertainty and Co-Movements between Chinese and US Stock Markets (2016)US Economic Policy Uncertainty and Co-Mov…Measuring Economic Policy Uncertainty* (2016)Measuring Economic Policy Unc…Measuring Economic Policy Uncertainty (2015)Measuring Economic Policy Unc…International spillovers of policy uncertainty (2014)International spillovers of p…Economic policy uncertainty, financial markets and probability of US recessions (2014)Economic policy uncertainty, …Economic policy uncertainty and corporate investment: Evidence from China (2014)Economic policy uncertainty a…Political uncertainty and risk premia (2013)Political uncertainty and ris…Economic policy uncertainty in the US: Does it matter for the Euro area? (2013)Economic policy uncertainty i…Dynamic co-movements of stock market returns, implied volatility and policy uncertainty (2013)Dynamic co-movements of stock…Uncertainty about Government Policy and Stock Prices (2012)Uncertainty about Government …The time-varying correlation between uncertainty, output, and inflation: Evidence from a DCC-GARCH model (2012)The time-varying correlation …Precarious Politics and Return Volatility (2011)Precarious Politics and Retur…Global financial crisis, extreme interdependences, and contagion effects: The role of economic structure? (2010)Global financial crisis, extr…Stock Market Uncertainty and the Stock-Bond Return Relation (2005)Stock Market Uncertainty and …Asian Economic Integration and Stock Market Comovement (2002)Asian Economic Integration an…Theoretical and Empirical properties of Dynamic Conditional Correlation Multivariate GARCH (2001)Theoretical and Empirical pro…Causality and cointegration of stock markets among the United States, Japan and the South China Growth Triangle (2000)Causality and cointegration o…The drivers of volume volatility: A big data analysis based on economic uncertainty measures for the Greek banking system (2022)The drivers of volume volatil…Dynamic risk spillover among crude oil, economic policy uncertainty and Chinese financial sectors (2022)Dynamic risk spillover among …Economic policy uncertainty and stock market returns: New evidence (2021)Economic policy uncertainty a…Asymmetric volatility spillover between oil-importing and oil-exporting countries' economic policy uncertainty and China's energy sector (2021)Asymmetric volatility spillov…Risk, uncertainty, and leverage (2020)Risk, uncertainty, and levera…Impacts of geopolitical risks and economic policy uncertainty on Chinese tourism‐listed company stock (2020)Impacts of geopolitical risks…Economic policy uncertainty and the Bitcoin-US stock nexus (2020)Economic policy uncertainty a…Economic Policy Uncertainty and Stock Returns of Africa: A Wavelet Coherence Analysis (2020)Economic Policy Uncertainty a…Does economic policy uncertainty in the U.S. influence stock markets in China and India? Time-frequency evidence (2020)Does economic policy uncertai…Does economic policy uncertainty drive the dynamic connectedness between oil price shocks and gold price? (2020)Does economic policy uncertai…Asymmetric volatility spillovers between economic policy uncertainty and stock markets: Evidence from China (2020)Asymmetric volatility spillov…Dynamic Spillover Effect Between Oil Prices and Economic Policy Uncertainty in BRIC Countries: A Wavelet-Based Approach (2019)Dynamic Spillover Effect Betw…Determinants of within and cross-country economic policy uncertainty spillovers: Evidence from US and China (2019)Determinants of within and cr…Asymmetric volatility spillovers between international economic policy uncertainty and the U.S. stock market (2019)Asymmetric volatility spillov…Is U.S. economic policy uncertainty priced in China's A-shares market? Evidence from market, industry, and individual stocks (2018)Is U.S. economic policy uncer…Foreign policy uncertainty shocks and US macroeconomic activity: Evidence from China (2017)Foreign policy uncertainty sh…Financing Constraints and Corporate Investment (1987)Financing Constraints and Corporate Investment (1988)Political Uncertainty and Corporate Investment Cycles (2012)Economic policy uncertainty and cash holdings: Evidence from BRIC countries (2017)Economic policy uncertainty: A literature review (2019)Green credit policy and firm performance: What we learn from China (2021)Inference in Linear Time Series Models with some Unit Roots (1990)The Impact of Uncertainty Shocks (2007)The Impact of Uncertainty Shocks (2009)Dynamic connectedness of uncertainty across developed economies: A time-varying approach (2018)On the transmission mechanism of country-specific and international economic uncertainty spillovers: Evidence from a TVP-VAR connectedness decomposition approach (2018)Economic policy uncertainty and financial stability–Is there a relation? (2020)Dynamic Conditional Correlation (2002)Dynamic spillovers of oil price shocks and economic policy uncertainty (2014)Economic policy uncertainty and stock market volatility (2015)Economic policy uncertainty and stock markets: Long-run evidence from the US (2016)Portfolio Selection (1952)An Introduction to Copulas (1999)No Contagion, Only Interdependence: Measuring Stock Market Comovements (2002)Modelling oil price and exchange rate co-movements (2011)Individual investor perceptions and behavior during the financial crisis (2012)Do global factors impact BRICS stock markets? A quantile regression approach (2014)An Intertemporal Capital Asset Pricing Model (1973)Business conditions and expected returns on stocks and bonds (1989)The Determinants of Stock and Bond Return Comovements (2010)Geopolitical risks and the oil-stock nexus over 1899–2016 (2017)Non-monetary news in central bank communication (2019)Generalized autoregressive conditional heteroskedasticity (1986)The Econometrics of Financial Markets (1997)Dynamic Conditional Correlation - a Simple Class of Multivariate GARCH Models (2000)Asymmetric Dynamics in the Correlations of Global Equity and Bond Returns (2006)The Copula-GARCH model of conditional dependencies: An international stock market application (2006)The Econometrics of Financial Markets (2012)A Simple Model of Capital Market Equilibrium with Incomplete Information (1987)Financial Dependence and Growth (1996)The quality of government (1999)Oil shocks, policy uncertainty and stock market return (2013)The Price of Political Uncertainty: Theory and Evidence from the Option Market (2014)The impacts of political uncertainty on asset prices: Evidence from the Bo scandal in China (2017)Protection For Sale (1992)Distributive Politics and Economic Growth (1994)Policy Uncertainty and Corporate Investment (2015)The Asset-Pricing Implications of Government Economic Policy Uncertainty (2015)Carbon Tail Risk (2018)An Economic Theory of Democracy. (1958)The Role of Monetary Policy (1995)Measuring Uncertainty (2015)COVID-19 pandemic, oil prices, stock market, geopolitical risk and policy uncertainty nexus in the US economy: Fresh evidence from the wavelet-based approach (2020)The Unprecedented Stock Market Reaction to COVID-19 (2020)Measuring Geopolitical Risk (2022)
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References

  • 2016Measuring Economic Policy Uncertainty*12,311 cited
  • 2013Political uncertainty and risk premia2,375 cited
  • 2012Uncertainty about Government Policy and Stock Prices2,327 cited
  • 2001Theoretical and Empirical properties of Dynamic Conditional Correlation Multivariate GARCH1,401 cited
  • 2014Economic policy uncertainty and corporate investment: Evidence from China709 cited
  • 2005Stock Market Uncertainty and the Stock-Bond Return Relation655 cited
  • 2010Global financial crisis, extreme interdependences, and contagion effects: The role of economic structure?559 cited
  • 2013Dynamic co-movements of stock market returns, implied volatility and policy uncertainty553 cited
  • 2013Economic policy uncertainty in the US: Does it matter for the Euro area?530 cited
  • 2011Precarious Politics and Return Volatility528 cited
  • 2015Measuring Economic Policy Uncertainty502 cited
  • 2014International spillovers of policy uncertainty252 cited
  • 2014Economic policy uncertainty, financial markets and probability of US recessions247 cited
  • 2000Causality and cointegration of stock markets among the United States, Japan and the South China Growth Triangle214 cited
  • 2012The time-varying correlation between uncertainty, output, and inflation: Evidence from a DCC-GARCH model

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193 cited
  • 2002Asian Economic Integration and Stock Market Comovement143 cited
  • Cited by

    • 2019Asymmetric volatility spillovers between international economic policy uncertainty and the U.S. stock market131 cited
    • 2020Does economic policy uncertainty drive the dynamic connectedness between oil price shocks and gold price?109 cited
    • 2019Determinants of within and cross-country economic policy uncertainty spillovers: Evidence from US and China101 cited
    • 2020Impacts of geopolitical risks and economic policy uncertainty on Chinese tourism‐listed company stock99 cited
    • 2020Economic policy uncertainty and the Bitcoin-US stock nexus91 cited
    • 2020Asymmetric volatility spillovers between economic policy uncertainty and stock markets: Evidence from China86 cited
    • 2018Is U.S. economic policy uncertainty priced in China's A-shares market? Evidence from market, industry, and individual stocks86 cited
    • 2020Economic Policy Uncertainty and Stock Returns of Africa: A Wavelet Coherence Analysis82 cited
    • 2022Dynamic risk spillover among crude oil, economic policy uncertainty and Chinese financial sectors80 cited
    • 2021Economic policy uncertainty and stock market returns: New evidence77 cited
    • 2020Does economic policy uncertainty in the U.S. influence stock markets in China and India? Time-frequency evidence74 cited
    • 2021Asymmetric volatility spillover between oil-importing and oil-exporting countries' economic policy uncertainty and China's energy sector70 cited
    • 2017Foreign policy uncertainty shocks and US macroeconomic activity: Evidence from China70 cited
    • 2019Dynamic Spillover Effect Between Oil Prices and Economic Policy Uncertainty in BRIC Countries: A Wavelet-Based Approach69 cited
    • 2020Risk, uncertainty, and leverage65 cited
    • 2022The drivers of volume volatility: A big data analysis based on economic uncertainty measures for the Greek banking system40 cited