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

共 50 条

[31] Trade policy uncertainty and capacity utilisation rate: Firm-level evidence from China's WTO accession
Mao, Qilin
Xu, Jiayun
Zhong, Yiming
WORLD ECONOMY, 2024, 47 (09) : 3966 - 3997
[32] Firm-level heterogeneity in the impact of the COVID-19 pandemic
Fernandez-Cerezo, Alejandro
Gonzalez, Beatriz
Izquierdo Peinado, Mario
Moral-Benito, Enrique
APPLIED ECONOMICS, 2023, 55 (42) : 4946 - 4974
[33] Covid-19, oil price and UK economic policy uncertainty: evidence from the ARDL approach
Jeris, Saeed Sazzad
Nath, Ridoy Deb
QUANTITATIVE FINANCE AND ECONOMICS, 2020, 4 (03): : 503 - 514
[34] Economic and environmental influences of resource tax: Firm-level evidence from China
Song, Yi
Zhang, Yangxueying
Zhang, Yijun
RESOURCES POLICY, 2022, 77
[35] Air quality improvement from COVID-19 lockdown: evidence from China
Wang, Meichang
Liu, Feng
Zheng, Meina
AIR QUALITY ATMOSPHERE AND HEALTH, 2021, 14 (04) : 591 - 604
[36] Economic Policy Uncertainty and Family Firm Innovation: Evidence From Listed Companies in China
Qi, Yong
Dong, Shaoyu
Lyu, Simeng
Yang, Shuo
FRONTIERS IN PSYCHOLOGY, 2022, 13
[37] The pricing effect of the common pattern in firm-level idiosyncratic volatility: Evidence from A-Share stocks of China
Su, Zhi
Shu, Tengjia
Yin, Libo
PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS, 2018, 497 : 218 - 235
[38] Forecasting the volatility of precious metals prices with global economic policy uncertainty in pre and during the COVID-19 period: Novel evidence from the GARCH-MIDAS approach
Raza, Syed Ali
Masood, Amna
Benkraiem, Ramzi
Urom, Christian
ENERGY ECONOMICS, 2023, 120
[39] Technological progress, fiscal policy, and economic fluctuations in China: Evidence from the heterogeneous firm DSGE model during the COVID-19 pandemic
Xie, Yamin
Li, Yuanguang
ECONOMIC ANALYSIS AND POLICY, 2024, 84 : 646 - 662
[40] Asymmetric volatility spillovers between economic policy uncertainty and stock markets: Evidence from China
Wang Ziwei
Li Youwei
He Feng
RESEARCH IN INTERNATIONAL BUSINESS AND FINANCE, 2020, 53

← 1 2 3 4 5 →