Proceedings of the 4th International Symposium on Business Corporation and Development in South-East and South Asia under B&R Initiative (ISBCD 2019)

The Impact of Economic Policy Uncertainty on China’s Stock Market

Authors
Yan Chen, Wei Zhou, Man Liu
Corresponding Author
Wei Zhou
Available Online 9 July 2020.
DOI
10.2991/aebmr.k.200708.073How to use a DOI?
Keywords
economic policy uncertainty, EPU rate, stock return
Abstract

Since the outbreak of the international financial crisis, which evolved from the subprime mortgage crisis in the United States in 2008, China has successively introduced many different economic policies to regulate the financial market and the macro economy to maintain its stability, but this has also made the uncertainty of China’s economic policies change more frequently. In this context, this paper selects the change rate of economic policy uncertainty index, the standard deviation of stock monthly return rate and the monthly and daily return rate as the empirical analysis variables, and studies the relationship between economic policy uncertainty and China’s stock market by establishing the vector autoregressive model and other methods. The results show that the uncertainty of economic policy has a certain negative influence on stock returns in China. In turn, the sharp decline of stock returns and the intensification of stock market volatility will increase the uncertainty of economic policies.

Copyright
© 2020, the Authors. Published by Atlantis Press.
Open Access
This is an open access article distributed under the CC BY-NC license (http://creativecommons.org/licenses/by-nc/4.0/).

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Volume Title
Proceedings of the 4th International Symposium on Business Corporation and Development in South-East and South Asia under B&R Initiative (ISBCD 2019)
Series
Advances in Economics, Business and Management Research
Publication Date
9 July 2020
ISBN
978-94-6252-983-0
ISSN
2352-5428
DOI
10.2991/aebmr.k.200708.073How to use a DOI?
Copyright
© 2020, the Authors. Published by Atlantis Press.
Open Access
This is an open access article distributed under the CC BY-NC license (http://creativecommons.org/licenses/by-nc/4.0/).

Cite this article

TY  - CONF
AU  - Yan Chen
AU  - Wei Zhou
AU  - Man Liu
PY  - 2020
DA  - 2020/07/09
TI  - The Impact of Economic Policy Uncertainty on China’s Stock Market
BT  - Proceedings of the 4th International Symposium on Business Corporation and Development in South-East and South Asia under B&R Initiative (ISBCD 2019)
PB  - Atlantis Press
SP  - 380
EP  - 384
SN  - 2352-5428
UR  - https://doi.org/10.2991/aebmr.k.200708.073
DO  - 10.2991/aebmr.k.200708.073
ID  - Chen2020
ER  -