The Spillover Effect of Economic Policy Uncertainty: Evidence from Analyst Behaviors in Hong Kong

Zhaobo Zhu (), Hang Lin, Min Chen and Peiwen Han
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Zhaobo Zhu: Audencia Business School
Hang Lin: Shenzhen University [Shenzhen]
Min Chen: SFSU - San Francisco State University
Peiwen Han: Shenzhen University [Shenzhen]

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Abstract: This paper examines the spillover effect of economic policy uncertainty on the financial market by comparing how local and external policy uncertainties affect the behaviors of analysts in an international financial center. Unlike findings in the United States and the United Kingdom, high local policy uncertainty does not significantly decrease analysts' earnings forecast accuracy or exacerbate forecast dispersion in Hong Kong. In contrast, high external policy uncertainty from Mainland China, the U.S., Europe, and across the globe significantly decrease analysts' forecast accuracy in Hong Kong, although these external policy uncertainties have also no significant effect on forecast dispersion. In addition, both local and external policy uncertainties have significant impact on analyst coverage and recommendations. These results provide strong evidence on the crosscountry spillover effect of economic policy uncertainty on a developed and international financial market.

Keywords: Economic Policy Uncertainty Spillover Effect Analysts' Earnings Forecast Accuracy Forecast Dispersion Analyst Coverage Recommendations; Economic Policy Uncertainty; Spillover Effect; Analysts' Earnings Forecast Accuracy; Forecast Dispersion; Analyst Coverage; Recommendations (search for similar items in EconPapers)
Date: 2023-03
New Economics Papers: this item is included in nep-ure
Note: View the original document on HAL open archive server: https://audencia.hal.science/hal-03926514
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Published in Finance Research Letters, 2023

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