Economic policy uncertainty, COVID-19 lockdown, and firm-level volatility: Evidence from China

被引：23

作者：

Yang, Jianlei ^{[1
]}

Yang, Chunpeng ^{[1
]}

机构：

[1] South China Univ Technol, Finance & Secur Ctr, Sch Econ & Commerce, Guangzhou 510006, Peoples R China

来源：

PACIFIC-BASIN FINANCE JOURNAL | 2021年 / 68卷

基金：

中国国家自然科学基金;

关键词：

Economic policy uncertainty; Firm-level volatility; COVID-19; pandemic; Difference in difference estimation; POLITICAL UNCERTAINTY; INVESTMENT EVIDENCE; RETURNS; IMPACT;

D O I：

10.1016/j.pacfin.2021.101597

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

To explain how firm-level volatility responds to the COVID-19 pandemic shock through the economic policy uncertainty (EPU) channel, we examine the two-dimension variations of stock volatility under the impact of COVID-19 pandemic and two types of EPU: measured by comprehensive newspapers news and financial newspapers news. The results, based on a difference in difference (DID) estimation, suggest a significant additional increase in the volatility of stocks with a higher degree of sensitivity to EPU after the announcement of the COVID-19 pandemic lockdown. Moreover, this effect is most pronounced for consumer, less-profitable, and high leverage stocks. Further multi-period analyses indicate that the impact of EPU associated with pandemic takes effect at the time of lockdown announcement and persist for a shortterm trend.

引用

页数：15

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