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Asymmetric dependence between economic policy uncertainty and stock market returns in G7 and BRIC: A quantile regression approach

Peng Guo, Huiming Zhu and Wanhai You

Finance Research Letters, 2018, vol. 25, issue C, 251-258

Abstract: This paper employs the quantile regression techniques to examine the dependence structure between economic policy uncertainty (EPU) and stock market returns in G7 and BRIC. We find new evidence to support the view that EPU will reduce stock market returns, with the exception of France and the UK. Our results show that eight out of ten stock markets reveal asymmetric dependence with EPU. Moreover, there is no dependence between EPU and France/the UK stock market.

Keywords: Economic policy uncertainty; Stock market; Asymmetry dependence; Quantile regression (search for similar items in EconPapers)
JEL-codes: C32 E44 G15 G18 (search for similar items in EconPapers)
Date: 2018
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Handle: RePEc:eee:finlet:v:25:y:2018:i:c:p:251-258