Economic Policy Uncertainty and Stock Excess Returns: Firm-Level Evidence from Asia-Pacific Markets

Dazhi Zheng, Huimin Li and Thomas C. Chiang

Chinese Economy, 2025, vol. 58, issue 6, 477-492

Abstract: This paper discovers a negative impact of economic policy uncertainty (EPU) change on stock excess returns of seven major Asia-Pacific markets spanning from July 1995 to June 2017. The empirical results also show that by including change of US EPU in the regressions, the negative impact of domestic EPU change on stock returns remains and dominates that of US EPU change. The negative relationship is more pronounced during an increasing economic uncertainty state than during a declining one, especially crisis periods. In addition, we find that the negative impact of domestic EPU change on stock returns is generally more pronounced for past winner stocks.

Date: 2025
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Persistent link: https://EconPapers.repec.org/RePEc:mes:chinec:v:58:y:2025:i:6:p:477-492

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DOI: 10.1080/10971475.2025.2540678

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