Financial stability policy and downside risk in stock returns

Jianlei Yang

The North American Journal of Economics and Finance, 2024, vol. 73, issue C

Abstract: This paper investigates the impact of financial stability policy on downside risk in stock returns. Various risk measures are employed to estimate the downside risk of individual stock returns and to examine their responses subsequent to the proactive policy announcements made by China's Financial Stability and Development Committee (FSDC). The empirical results reveal significant financial stability policy effects in diminishing downside risks. Further analysis shows that direct support policies for the capital market have a more significant effect compared to proactive monetary policies and supportive credit policies. The real estate, non-cyclical consumer, and financial sectors exhibit particularly pronounced influences from financial stability policy.

Keywords: Financial stabilization policy; Downside risk; Downside realized semi-variance (search for similar items in EconPapers)
JEL-codes: G1 (search for similar items in EconPapers)
Date: 2024
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecofin:v:73:y:2024:i:c:s1062940824001219

DOI: 10.1016/j.najef.2024.102196

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