文章基本信息

标题：On the effects of policy uncertainty on stock prices: an asymmetric analysis
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作者：Hasrul Abdi Hasibuan ; Ijah
期刊名称：Quantitative Finance and Economics
电子版ISSN：2573-0134
出版年度：2019
卷号：3
期号：2
页码：412-424
DOI：10.3934/QFE.2019.2.412
语种：English
出版社：AIMS Press
摘要：Assessing the impact of policy uncertainty on any macroeconomic variables has recently gained momentum. One recent study that considered its impact on stock returns found that an increase in uncertainty has adverse short-run but not long-run effects. In this study, we show that once the nonlinear adjustment of policy uncertainty is introduced into the same multivariable model, policy uncertainty not only has short-run effects but also long-run effects. Furthermore, in most instances the short-run and long-run effects are asymmetric.
关键词：policy uncertainty;stock prices;asymmetry;nonlinear ARDL