| Status | 已發表Published |
| Economic Policy Uncertainty and Stock Market Activity: Evidence from China | |
Lei, C. H. ; Chen, S
| |
| 2019-12-01 | |
| Source Publication | SFM2019
 |
| Abstract | Following Baker, Bloom, and Davis (2016), we construct an appropriate economic policy uncertainty (EPU) measure for Chinese economy based on Chinese character search of newspapers, and compare our EPU index with Baker et al.'s China EPU index which is based on Hong Kong English news source. We find that Baker et al.’s index is a reasonable proxy for China’s EPU, but it omits some useful information. We further show that our China EPU index, especially our index based on mainland China’s newspaper, predicts China’s economic trends better than Baker et al.’s index. We also study the effects of different China EPU indices on Chinese listed firms’ stock price behavior, and find that the index based on mainland China’s newspaper is the best indicator to China A or B share listings’ stock price crash risk but the index based on outside mainland newspaper is better for H share listings’. The relationship is positive between A or H shares’ stock price crash risk and EPU, and negative for B share listings. |
| Keyword | Economic Policy Uncertainty (EPU) China’s economic trend stock price crash |
| Language | 英語English |
| The Source to Article | PB_Publication |
| PUB ID | 53844 |
| Document Type | Conference paper |
| Collection | DEPARTMENT OF FINANCE AND BUSINESS ECONOMICS |
| Corresponding Author | Lei, C. H. |
| Recommended Citation GB/T 7714 | Lei, C. H.,Chen, S. Economic Policy Uncertainty and Stock Market Activity: Evidence from China[C], 2019. |
| APA | Lei, C. H.., & Chen, S (2019). Economic Policy Uncertainty and Stock Market Activity: Evidence from China. SFM2019. |
| Files in This Item: | There are no files associated with this item. | |||||
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