US economic policy uncertainty and co-movements between Chinese and US stock markets

Xiao-Ming Li and Lu Peng

Economic Modelling, 2017, vol. 61, issue C, 27-39

Abstract: This paper investigates the impact of innovations in US economic policy uncertainty on the co-movements of China's A/B stock markets with the US stock market. We show that it is the absolute changes in the US economic policy uncertainty index that have a negative impact on the co-movements. The finding is robust to the asymmetric effects of non-policy-uncertainty shocks, to a break in the correlation structure, and to the four Chinese A/B stock markets investigated. Our results provide the first evidence regarding how stock market correlations are driven by policy-related uncertainty shocks in the international context.

Keywords: Economic policy uncertainty shocks; International stock market co-movements; China; U.S. (search for similar items in EconPapers)
JEL-codes: G1 (search for similar items in EconPapers)
Date: 2017
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (67)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecmode:v:61:y:2017:i:c:p:27-39

DOI: 10.1016/j.econmod.2016.11.019

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