EconPapers    
Economics at your fingertips  
 

The Causal Relationship Between Economic Policy Uncertainty and Stock Returns in China and India: Evidence from a Bootstrap Rolling Window Approach

Xiao-lin Li, Mehmet Balcilar (), Rangan Gupta () and Tsangyao Chang ()

Emerging Markets Finance and Trade, 2016, vol. 52, issue 3, 674-689

Abstract: This article applies a bootstrap rolling-window causality test to assess the causal relationship between economic policy uncertainty (EPU) and stock returns in China and India. Empirical literature examining causality between two time series may suffer from inaccurate results when the underlying full-sample time series have structural changes. However, the bootstrap rolling-window approach enables us to identify possible time-varying causalities between time series based on sub-sample data. Using a twenty-four-months rolling window over the period 1995:02 to 2013:02 in China and 2003:02–2013:02 in India, we do find that there are bidirectional causal relationships between EPU and stock returns in several sub-periods rather than in the whole sample period. However, the association between EPU and stock returns is, in general, weak for these two emerging countries. Our findings have important implications for policy makers and investors.

Date: 2016
References: Add references at CitEc
Citations: View citations in EconPapers (22) Track citations by RSS feed

Downloads: (external link)
http://hdl.handle.net/10.1080/1540496X.2014.998564 (text/html)
Access to full text is restricted to subscribers.

Related works:
Working Paper: The Causal Relationship between Economic Policy Uncertainty and Stock Returns in China and India: Evidence from a Bootstrap Rolling-Window Approach (2013)
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:mes:emfitr:v:52:y:2016:i:3:p:674-689

Ordering information: This journal article can be ordered from
http://www.tandfonline.com/pricing/journal/MREE20

DOI: 10.1080/1540496X.2014.998564

Access Statistics for this article

More articles in Emerging Markets Finance and Trade from Taylor & Francis Journals
Bibliographic data for series maintained by Chris Longhurst ().

 
Page updated 2021-01-30
Handle: RePEc:mes:emfitr:v:52:y:2016:i:3:p:674-689