How EPU drives long-term industry beta

Honghai Yu, Libing Fang, Donglei Du and Panpan Yan

Finance Research Letters, 2017, vol. 22, issue C, 249-258

Abstract: Based on the DCC-MIDAS framework, we estimate the long-term beta of 10 industries driven by Economic Policy Uncertainty (EPU) in the US. The results demonstrate that EPU significantly drives industry beta. The driving effects on different industries are further analyzed along with the related stock market turmoil. The effects of 10 categories of specific EPU on industries’ beta are also presented. The findings help to characterize the systematic risk of industries facing different categories of economic policy uncertainty.

Keywords: Industry beta; EPU; DCC-MIDAS; MIDAS regression (search for similar items in EconPapers)
JEL-codes: C32 C54 E30 G18 (search for similar items in EconPapers)
Date: 2017
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (18)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:22:y:2017:i:c:p:249-258

DOI: 10.1016/j.frl.2017.05.012

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