The impact of economic policy uncertainty on volatility of China’s financial stocks: An empirical analysis

Xinyu Wang, Yi Luo, Zhuqing Wang, Yan Xu and Congxin Wu

Finance Research Letters, 2021, vol. 39, issue C

Abstract: We modify the GARCH-MIDAS model by introducing a skewed T-distribution and employ it to study the impact of economic policy uncertainties on the volatility of China’s financial stocks between 2000–2019. The modified model improves the fit to the data compared to the standard model with a Gaussian distribution. We find that economic policy uncertainties worldwide and in the European Union, Japan, Russia, Brazil, Canada, and China are negatively correlated with the long-term component of volatility of China’s financial stocks. The heightened uncertainty in the US economic policy since 2017 has had a negative impact on the volatility of China’s financial stocks.

Keywords: MIDAS; Mixed frequency; Economic policy uncertainty; Financial stocks; Skewed T-distribution (search for similar items in EconPapers)
Date: 2021
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (6)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S1544612319314102
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:39:y:2021:i:c:s1544612319314102

DOI: 10.1016/j.frl.2020.101650

Access Statistics for this article

Finance Research Letters is currently edited by R. Gençay

More articles in Finance Research Letters from Elsevier
Bibliographic data for series maintained by Catherine Liu ().