Category-specific EPU indices, macroeconomic variables and stock market return predictability

被引：6

作者：

Zeng, Qing ^{[1
]}

Lu, Xinjie ^{[1
,2
]}

Dong, Dayong ^{[1
]}

Li, Pan ^{[1
]}

机构：

[1] Southwest Jiaotong Univ, Sch Econ & Management, Chengdu, Peoples R China

[2] Serv Sci & Innovat Key Lab Sichuan Prov, Chengdu, Peoples R China

来源：

INTERNATIONAL REVIEW OF FINANCIAL ANALYSIS | 2022年 / 84卷

关键词：

Category -specific EPU indices; Macroeconomic variables; Stock market return predictability; Principal component method; COVID-19; pandemic; ECONOMIC-POLICY UNCERTAINTY; PREMIUM; RISK; G7; VOLATILITY; INFLATION; PRICES; OUTPUT; SAMPLE;

D O I：

10.1016/j.irfa.2022.102353

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

This paper mainly investigates whether the category-specific EPU indices have predictability for stock market returns. Empirical results show that the content of category-specific EPU can significantly predict the stock market return, no matter the individual category-specific EPU index or the principal component of category -specific EPU indices. In addition, the information of category-specific EPU indices can also have higher eco-nomic gains than traditional macroeconomic variables, even considering the trading cost and different investor risk aversion coefficients. During different forecasting windows, multi-period forecast horizons and the COVID-19 pandemic, we find the information contained in category-specific EPU indices can have better performances than that of the macroeconomic variables. Our paper tries to provide new evidence for stock market returns based on category-specific EPU indices.

引用

页数：10

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