Economic Policy Uncertainty and Conditional Dependence between China and U.S. Stock Markets
In this paper, we investigate the impact of economic policy uncertainty (EPU) on the conditional dependence between China and U.S. stock markets by employing the Copula-mixed-data sampling (Copula-MIDAS) framework. In the case of EPU, we consider the global EPU (GEPU), the American EPU (AEPU), and t...
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| Format: | Article |
| Language: | English |
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Wiley
2022-01-01
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| Series: | Complexity |
| Online Access: | http://dx.doi.org/10.1155/2022/8137932 |
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| author | Xinyu Wu Meng Zhang Mengqi Wu Hao Cui |
| author_facet | Xinyu Wu Meng Zhang Mengqi Wu Hao Cui |
| author_sort | Xinyu Wu |
| collection | DOAJ |
| description | In this paper, we investigate the impact of economic policy uncertainty (EPU) on the conditional dependence between China and U.S. stock markets by employing the Copula-mixed-data sampling (Copula-MIDAS) framework. In the case of EPU, we consider the global EPU (GEPU), the American EPU (AEPU), and the China EPU (CEPU). The empirical analysis based on the Shanghai Stock Exchange Composite (SSEC) index in China and the S&P 500 index in the U.S. shows that the tail dependence between China and U.S. stock markets is symmetrical, and the t Copula outperforms alternative Copulas in terms of in-sample goodness of fit. In particular, we find that the t Copula-MIDAS model with EPU dominates the traditional time-varying t Copula in terms of in-sample fitting. Moreover, we observe that both the GEPU and AEPU have a significantly positive impact on the conditional dependence between China and U.S. stock markets, whereas CEPU has no significant impact. The tail dependence between China and U.S. stock markets exhibits an increasing trend, particularly in the recent years. |
| format | Article |
| id | doaj-art-c9fb3b2e490d43ae8719fb86d98e7d83 |
| institution | Kabale University |
| issn | 1099-0526 |
| language | English |
| publishDate | 2022-01-01 |
| publisher | Wiley |
| record_format | Article |
| series | Complexity |
| spelling | doaj-art-c9fb3b2e490d43ae8719fb86d98e7d832025-02-03T06:41:58ZengWileyComplexity1099-05262022-01-01202210.1155/2022/8137932Economic Policy Uncertainty and Conditional Dependence between China and U.S. Stock MarketsXinyu Wu0Meng Zhang1Mengqi Wu2Hao Cui3School of FinanceSchool of FinanceSchool of FinanceSchool of FinanceIn this paper, we investigate the impact of economic policy uncertainty (EPU) on the conditional dependence between China and U.S. stock markets by employing the Copula-mixed-data sampling (Copula-MIDAS) framework. In the case of EPU, we consider the global EPU (GEPU), the American EPU (AEPU), and the China EPU (CEPU). The empirical analysis based on the Shanghai Stock Exchange Composite (SSEC) index in China and the S&P 500 index in the U.S. shows that the tail dependence between China and U.S. stock markets is symmetrical, and the t Copula outperforms alternative Copulas in terms of in-sample goodness of fit. In particular, we find that the t Copula-MIDAS model with EPU dominates the traditional time-varying t Copula in terms of in-sample fitting. Moreover, we observe that both the GEPU and AEPU have a significantly positive impact on the conditional dependence between China and U.S. stock markets, whereas CEPU has no significant impact. The tail dependence between China and U.S. stock markets exhibits an increasing trend, particularly in the recent years.http://dx.doi.org/10.1155/2022/8137932 |
| spellingShingle | Xinyu Wu Meng Zhang Mengqi Wu Hao Cui Economic Policy Uncertainty and Conditional Dependence between China and U.S. Stock Markets Complexity |
| title | Economic Policy Uncertainty and Conditional Dependence between China and U.S. Stock Markets |
| title_full | Economic Policy Uncertainty and Conditional Dependence between China and U.S. Stock Markets |
| title_fullStr | Economic Policy Uncertainty and Conditional Dependence between China and U.S. Stock Markets |
| title_full_unstemmed | Economic Policy Uncertainty and Conditional Dependence between China and U.S. Stock Markets |
| title_short | Economic Policy Uncertainty and Conditional Dependence between China and U.S. Stock Markets |
| title_sort | economic policy uncertainty and conditional dependence between china and u s stock markets |
| url | http://dx.doi.org/10.1155/2022/8137932 |
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