Evidence of Economic Policy Uncertainty and COVID-19 Pandemic on Global Stock Returns
Abstract
:1. Introduction
2. Literature Review
3. Data
4. Research Methodology
5. Empirical Evidence
5.1. Impact of EPU on Stock Returns
5.2. Impact of the COVID-19 Pandemic
5.3. Nonlinear Estimations
- (i)
- Uncertainty premium hypothesis—A rise in has a negative effect on stock returns, that is, which implies = , where . This expression suggests that some investors tend to sell off stocks as higher uncertainty hits market; this selloff will lead current stock prices to fall, which is reflected by a negative sign of . < 0; however, a market rebound will result in .
- (ii)
- COVID-19 uncertainty hypothesis—Increased spread of COVID-19 will provoke fears in investors, leading to a decline in stock returns. That is, < 0, which is a direct effect from
- (iii)
- Interactive uncertainty hypothesis—A rise in COVID-19 from the last period will induce uncertainty, exacerbating the current level of EPU, which will produce more uncertainty about the direction of stock returns; thus, the constitutes an indirect negative effect, that is < 0.
6. Time-Varying Stock–Return Correlation
6.1. Dynamic Conditional Correlation Model
6.2. EPU and COVID-19 on Time-Varying Return Correlations
7. Conclusions and Implications
Funding
Data Availability Statement
Conflicts of Interest
Appendix A. Estimating the Time-Varying Correlations
1 | |
2 | Knight differentiated risk from uncertainty by the measurability vs. immeasurability. Knight (1921) defined only quantifiable uncertainty to be risk. However, the EPU indices provided by Baker et al. (2016) help to quantify the measurability of uncertainty. |
3 | Hillen et al. (2017) emphasize the concept that uncertainty provokes fear and perceptions of vulnerability. |
4 | Global indices are from: http://www.policyuncertainty.com/media/Global_Annotated_Series.pdf (accessed on 6 June 2021). |
5 | Baker et al. (2020a) use the following terms (term variants): E: {economic, economy, financial}; M: {“stock market”, equity, equities, “Standard and Poors”}; V: {volatility, volatile, uncertain, uncertainty, risk, risky};ID:{epidemic, pandemic, virus, flu, disease, coronavirus, mers, sars, ebola, H5N1, H1N1}. |
6 | A model that incorporates an asymmetry shock (Nelson 1991) is not considered, since this information will be captured by a lag of the COVID disease shock at a later point. The use of GARCH (1,1) was popularized by Bollerslev et al. (1992) as a way to achieve a better fit of the stock return equation. Bollerslev (2010) provides a summary of different specification of GARCH-type models. |
7 | A kurtosis above 3 indicates “fat tails,” or leptokurtosis, relative to the normal, or Gaussian, distribution. Platykurtosis refers to a distribution that has a negative excess kurtosis with a relatively flatter peak than a normal distribution. |
8 | Bollerslev (2010) provides alternative specifications of the GARCH-type model. |
9 | As arrival of COVID-19 in U.S. on early 2020, the Dow Jones Industrial Average (DJIA) was down 3.56%, S&P 500 decreased 3.35%, and NASDAQ dropped 3.71%. Recently, as COVID-19 variant emerged from news, the DJIA fell 2.53%, while the S&P 500 and NASDAQ Composite declined 2.27% and 2.23%, respectively. causing a big sell-off on Friday, November 26. Specifically, Futures on the DJIA dropped 415 points or 1.18% S&P 500 futures were down 0.78%, and Nasdaq 100 futures fell 0.4% as reported by Yun Li for CNBC on November 30, 2021, 03:30 AM EST. |
10 | IMF provides a report with respect to various key policy responses for different countries (See Policy response to COVID-19–International Monetary Fund, www.imf.org (accessed on 6 June 2021)). |
11 | + + + + . |
12 | |
13 | Canada, India and Singapore are thought much heighted connected with U.S., both on the economic and political aspects, that renders a positive respond to the The same argument apply to Japan for the coefficient of |
14 | Some researcers alternatively use a factor model by specifying size and value factors and other style factors as exogenous variables in their mean equation. |
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Market | C | ||||||
---|---|---|---|---|---|---|---|
Panel A | 9.2456 | −1.7804 | 2.6838 | 0.9218 | 0.7993 | 0.021 | |
43.49 | −48.97 | 0.42 | 1.02 | 4.19 | |||
3.4020 | −0.6431 | 1.0573 | 0.5141 | 0.7975 | 0.024 | ||
17.20 | −14.66 | 0.52 | 0.95 | 3.73 | |||
1.3583 | −0.2260 | 2.2151 | 0.5312 | 0.7394 | 0.004 | ||
13.55 | −9.22 | 0.60 | 0.81 | 2.46 | |||
3.8502 | −0.7652 | 1.6395 | 0.5014 | 0.7888 | 0.020 | ||
7.00 | −6.68 | 0.60 | 0.81 | 3.54 | |||
3.5922 | −0.7206 | 1.5669 | 0.4706 | 0.8151 | 0.007 | ||
8.26 | −8.04 | 0.41 | 0.81 | 3.58 | |||
2.0566 | −0.3813 | 2.2151 | 0.5564 | 0.6991 | 0.007 | ||
9.66 | −9.59 | 0.60 | 0.78 | 1.91 | |||
3.9755 | −0.8276 | 0.0511 | 0.3896 | 0.8899 | 0.007 | ||
58.64 | −68.16 | 0.10 | 1.10 | 9.10 | |||
Panel B | 2.8454 | −0.5234 | 5.8669 | 0.3606 | 0.7421 | 0.005 | |
24.65 | −13.54 | 0.73 | 0.70 | 2.78 | |||
7.3318 | −1.5870 | 7.4521 | 0.3243 | 0.6930 | 0.066 | ||
11.41 | −10.98 | 0.42 | 0.45 | 1.08 | |||
1.7588 | −0.3586 | 1.4725 | 0.5531 | 0.8223 | 0.002 | ||
7.02 | −7.73 | 0.51 | 1.07 | 5.39 | |||
5.7930 | −1.1537 | 1.8871 | 0.7118 | 0.6663 | 0.037 | ||
13.47 | −13.04 | 0.67 | 0.89 | 2.01 | |||
Panel C | 2.0072 | −0.3629 | 36.6671 | 1.1989 | 0.0902 | 0.006 | |
22.85 | −10.82 | 1.55 | 1.04 | 0.26 | |||
5.6974 | −1.1701 | 1.4079 | 0.1244 | 0.7470 | 0.034 | ||
5.34 | −5.01 | 0.79 | 1.02 | 2.97 | |||
0.6241 | −0.1306 | 1.6867 | 0.2400 | 0.8058 | 0.003 | ||
4.09 | −3.90 | 0.57 | 1.01 | 3.81 | |||
1.3676 | −0.2215 | 3.2422 | 0.4435 | 0.7712 | 0.002 | ||
6.57 | −4.22 | 0.55 | 0.66 | 2.53 |
Market | C | ||||||
---|---|---|---|---|---|---|---|
Panel A | 6.4605 | −1.3264 | 0.8016 | 0.5987 | 0.7981 | 0.040 | |
57.44 | −47.31 | 0.47 | 1.01 | 4.18 | |||
5.9379 | −1.2225 | 1.2473 | 0.5324 | 0.7963 | 0.030 | ||
17.59 | −16.43 | 0.52 | 0.88 | 3.60 | |||
6.2713 | −1.2989 | 1.8783 | 0.5175 | 0.7660 | 0.032 | ||
12.56 | −12.08 | 0.65 | 0.90 | 3.43 | |||
6.3616 | −1.3085 | 1.7092 | 0.5683 | 0.8006 | 0.023 | ||
19.95 | −19.06 | 0.49 | 0.89 | 3.77 | |||
6.2653 | −1.3144 | 1.2556 | 0.5127 | 0.7665 | 0.040 | ||
27.52 | −28.94 | 0.55 | 0.82 | 2.88 | |||
3.9773 | −0.8238 | 0.0081 | 0.3093 | 0.9167 | 0.011 | ||
49.59 | −56.61 | 0.02 | 0.96 | 10.52 | |||
Panel B | 9.6793 | −2.0053 | 3.0395 | 0.2010 | 0.8253 | 0.027 | |
26.58 | −25.54 | 0.97 | 0.79 | 5.92 | |||
5.0161 | −1.0040 | 4.2392 | 0.3231 | 0.8167 | 0.007 | ||
6.62 | −6.04 | 0.63 | 0.86 | 3.98 | |||
2.3167 | −0.4624 | 4.1761 | 1.0240 | 0.7989 | 0.001 | ||
3.08 | −2.89 | 0.52 | 0.85 | 3.79 | |||
3.1397 | −0.6311 | 1.4576 | 0.6254 | 0.7357 | 0.012 | ||
16.81 | −14.19 | 0.84 | 1.29 | 4.46 | |||
Panel C | 8.0327 | −1.6380 | 23.6677 | 0.9735 | 0.0763 | 0.020 | |
11.35 | −10.04 | 1.98 | 1.38 | 0.32 | |||
2.5995 | −0.4680 | 4.7147 | 0.2519 | 0.6236 | 0.003 | ||
5.13 | −3.96 | 0.58 | 0.74 | 1.18 | |||
3.9392 | −0.7955 | 2.7380 | 0.2189 | 0.7791 | 0.008 | ||
14.20 | −17.37 | 0.60 | 0.84 | 2.92 | |||
6.7019 | −1.2737 | 1.2727 | 0.1398 | 0.8808 | 0.005 | ||
23.06 | −21.50 | 0.65 | 0.89 | 6.81 |
US Return | C | ||||||
---|---|---|---|---|---|---|---|
Panel A | 1.4823 | −0.0410 | 1.7913 | 0.4462 | 0.7776 | −0.014 | |
2.08 | −0.28 | 0.71 | 1.30 | 4.92 | |||
1.3583 | −0.2260 | 2.2151 | 0.5312 | 0.7394 | 0.004 | ||
13.55 | −9.22 | 0.60 | 0.81 | 2.46 | |||
3.8502 | −0.7652 | 1.6395 | 0.5014 | 0.7888 | 0.020 | ||
7.00 | −6.68 | 0.60 | 0.81 | 3.54 | |||
0.9425 | −0.0016 | 0.8612 | 0.2214 | 0.7576 | −0.005 | ||
0.32 | −0.00 | 1.60 | 3.34 | 11.56 | |||
2.0944 | −0.1447 | 1.5580 | 0.3939 | 0.7585 | −0.022 | ||
3.88 | −1.30 | 0.82 | 1.47 | 5.09 | |||
2.5850 | −0.2717 | 1.2028 | 0.3072 | 0.7937 | −0.013 | ||
1.37 | −0.65 | 0.78 | 1.44 | 6.05 | |||
Panel B | 1.3617 | 0.0137 | 1.3341 | 0.3512 | 0.7839 | −0.024 | |
2.95 | 0.12 | 0.78 | 1.30 | 5.59 | |||
−1.0616 | 0.6082 | 1.5865 | 0.3688 | 0.7283 | −0.069 | ||
−1.50 | 3.92 | 0.76 | 1.29 | 3.90 | |||
2.1825 | −0.1852 | 1.0027 | 0.2614 | 0.7718 | −0.013 | ||
1.99 | −0.76 | 1.04 | 1.86 | 6.97 | |||
3.2477 | −0.4153 | 1.2270 | 0.2543 | 0.7457 | −0.012 | ||
1.96 | −1.17 | 0.83 | 1.51 | 4.55 | |||
Panel C | 1.7224 | −0.0890 | 1.8999 | 0.4008 | 0.7283 | −0.012 | |
4.50 | −1.05 | 0.87 | 1.43 | 4.16 | |||
3.5865 | −0.4809 | 1.1412 | 0.2811 | 0.7581 | −0.012 | ||
2.57 | −1.54 | 1.11 | 1.78 | 6.35 | |||
1.2896 | 0.0484 | 2.1000 | 0.4208 | 0.7244 | −0.032 | ||
16.11 | 4.59 | 0.77 | 1.29 | 3.80 | |||
2.0597 | −0.1390 | 1.4469 | 0.4134 | 0.7528 | −0.028 | ||
3.73 | −1.19 | 0.85 | 1.41 | 5.04 |
Market | C | |||||||
---|---|---|---|---|---|---|---|---|
Panel A: World and G7 markets | ||||||||
0.1096 | −0.0823 | −0.0028 | 1.3127 | 15.9656 | 1.2466 | 0.6377 | 0.11 | |
0.63 | −21.24 | −5.87 | 5.79 | 0.50 | 0.73 | 1.65 | ||
−0.0839 | −0.0484 | −0.0021 | 1.5487 | 4.7491 | 0.7632 | 0.7438 | 0.05 | |
−6.18 | −14.19 | −3.33 | 25.89 | 0.58 | 1.04 | 3.04 | ||
0.7429 | −0.0280 | −0.0064 | 0.0416 | 5.8430 | 0.6865 | 0.8821 | 0.05 | |
18.75 | −28.69 | −16.71 | 5.45 | 0.41 | 0.73 | 5.21 | ||
0.9777 | −0.0173 | −0.0007 | 0.5220 | 13.6361 | 1.2435 | 0.6199 | 0.01 | |
3.00 | −12.45 | −7.00 | 1.94 | 0.68 | 1.08 | 1.99 | ||
0.7105 | −0.0261 | −0.0079 | 0.7383 | 21.5563 | 0.8452 | 0.7126 | 0.04 | |
4.01 | −24.01 | −8.46 | 3.27 | 0.56 | 0.67 | 1.82 | ||
0.0662 | −0.0136 | −0.0094 | 0.9067 | 9.7415 | 0.3312 | 0.5585 | 0.01 | |
0.15 | −2.27 | −2.99 | 2.13 | 1.23 | 1.33 | 2.13 | ||
−0.8786 | −0.0328 | −0.0065 | 1.1210 | 10.3997 | 0.6916 | 0.7248 | 0.07 | |
−3.39 | −23.49 | −6.02 | 5.25 | 0.45 | 0.67 | 1.74 | ||
−0.1842 | −0.0472 | −0.0008 | 1.4395 | 52.7483 | 0.7716 | 0.4179 | 0.05 | |
−3.36 | −15.82 | −2.10 | 13.81 | 0.66 | 0.71 | 0.59 | ||
Panel B: Asia markets | ||||||||
−0.2908 | −0.0178 | −0.0036 | 1.3856 | 8.7601 | 0.3511 | 0.7873 | 0.01 | |
−3.56 | −4.13 | −1.89 | 5.15 | 0.61 | 0.89 | 3.51 | ||
−1.0237 | −0.0408 | −0.0068 | 5.8629 | 13.1608 | 0.3215 | 0.8048 | 0.12 | |
−5.37 | −10.08 | −5.30 | 11.50 | 0.48 | 0.61 | 2.56 | ||
−0.7663 | −0.0307 | −0.0079 | 3.3599 | 0.3126 | 0.1178 | 0.8994 | 0.03 | |
−1.68 | −5.57 | −3.21 | 3.91 | 0.75 | 2.08 | 20.98 | ||
0.3059 | −0.0634 | −0.0062 | 0.3909 | 12.5017 | 0.6833 | 0.8094 | 0.06 | |
5.90 | −23.05 | −14.83 | 4.48 | 0.44 | 0.52 | 2.34 | ||
Panel C: Latin America markets | ||||||||
0.3825 | −0.0100 | −0.0023 | 0.3879 | 36.5546 | 0.5042 | 0.6726 | 0.01 | |
2.51 | −6.21 | −2.67 | 2.65 | 0.57 | 0.58 | 1.66 | ||
−3.0494 | −0.0355 | −0.0041 | 2.7365 | 28.9737 | 1.4632 | 0.3697 | 0.06 | |
−7.11 | −22.13 | −6.03 | 7.32 | 0.77 | 1.13 | 1.81 | ||
−0.6681 | −0.0008 | −0.0012 | 1.3985 | 3.3979 | 0.2179 | 0.8829 | 0.01 | |
−1.70 | −2.68 | −2.27 | 4.31 | 0.39 | 0.84 | 5.51 | ||
0.8966 | −0.0161 | −0.0024 | 0.1039 | 6.4867 | 1.3228 | 0.8434 | 0.02 | |
14.47 | −10.34 | −4.46 | 3.79 | 0.33 | 0.61 | 3.45 |
Market | C | ||||||||
---|---|---|---|---|---|---|---|---|---|
Panel A: G7 markets | |||||||||
−0.4936 | −0.0618 | −0.0149 | −0.0091 | 2.2303 | 8.2510 | 0.7452 | 0.6858 | 0.10 | |
−2.47 | −13.58 | −4.97 | −10.22 | 7.13 | 0.56 | 0.85 | 1.88 | ||
0.8576 | −0.0184 | −0.0477 | −0.0018 | 0.0461 | 9.9053 | 0.5323 | 0.8620 | 0.08 | |
23.62 | −17.85 | −22.46 | −3.09 | 1.68 | 0.38 | 0.53 | 3.10 | ||
0.7859 | −0.0040 | −0.0824 | −0.0004 | −0.0321 | 20.227 | 0.4334 | 0.9629 | 0.09 | |
48.71 | −5.07 | −33.21 | −2.69 | −1.73 | 0.31 | 0.24 | 14.35 | ||
0.4541 | −0.0177 | −0.0804 | −0.0028 | 0.3509 | 15.991 | 0.6042 | 0.7989 | 0.11 | |
15.00 | −12.23 | −28.50 | −25.73 | 9.18 | 0.43 | 0.59 | 2.34 | ||
−1.2045 | −0.0163 | −0.0657 | −0.0071 | 1.7698 | 11.254 | 0.4195 | 0.4336 | 0.07 | |
−1.43 | −2.68 | −5.56 | −2.36 | 2.47 | 1.55 | 1.60 | 1.77 | ||
−0.8806 | −0.0222 | −0.0588 | −0.0032 | 1.1739 | 16.255 | 0.9641 | 0.8259 | 0.13 | |
−1.76 | −11.61 | −16.43 | −4.52 | 2.72 | 0.38 | 0.46 | 2.46 | ||
−0.2502 | −0.0620 | −0.0432 | −0.0053 | 1.7913 | 20.959 | 0.6388 | 0.6953 | 0.08 | |
−3.51 | −14.33 | −17.38 | −5.35 | 12.84 | 0.52 | 0.70 | 1.63 | ||
Panel B: Asia markets | |||||||||
−0.1900 | −0.0032 | −0.0233 | −0.0007 | 2.0995 | 19.892 | 0.5917 | 0.8048 | 0.01 | |
−1.63 | −2.00 | −4.27 | −6.81 | 10.67 | 0.48 | 0.59 | 2.66 | ||
−1.0011 | −0.0412 | −0.0312 | −0.0052 | 6.5639 | 15.748 | 0.2838 | 0.7944 | 0.12 | |
−7.88 | −11.51 | −5.57 | −3.34 | 26.45 | 0.46 | 0.55 | 2.22 | ||
−0.3448 | −0.0279 | −0.0260 | −0.0105 | 1.8926 | 0.4865 | 0.2136 | 0.9106 | 0.04 | |
−1.49 | −9.40 | −4.18 | −9.70 | 4.92 | 0.36 | 1.29 | 14.51 | ||
0.2641 | −0.0450 | −0.0236 | −0.0057 | 0.3953 | 15.656 | 0.3323 | 0.8634 | 0.06 | |
4.34 | −7.42 | −61.89 | −10.91 | 3.30 | 0.38 | 0.35 | 2.56 | ||
Panel C: Latin America markets | |||||||||
0.398 | −0.0093 | 0.0000 | −0.0023 | 0.3901 | 3.341 | 0.1727 | 0.9452 | 0.01 | |
3.74 | −6.69 | −3.13 | −2.14 | 3.77 | 0.28 | 0.68 | 9.67 | ||
−3.059 | −0.0288 | −0.0348 | −0.0062 | 2.7591 | 33.388 | 2.0449 | 0.3889 | 0.07 | |
−6.62 | −16.22 | −12.55 | −12.51 | 6.61 | 0.74 | 1.00 | 0.77 | ||
−0.659 | −0.0005 | 0.0208 | 0.0009 | 1.4933 | 22.417 | 1.3826 | 0.8156 | 0.01 | |
−2.12 | −4.58 | 12.11 | 2.78 | 5.96 | 0.34 | 0.61 | 2.67 | ||
0.974 | −0.0126 | −0.0349 | −0.0035 | 0.1662 | 18.008 | 0.2596 | 0.9059 | 0.02 | |
17.51 | −19.13 | −13.34 | −5.43 | 4.17 | 0.38 | 0.40 | 4.18 |
Market | C | |||||||
---|---|---|---|---|---|---|---|---|
Panel A: World and G7 markets | ||||||||
−0.1066 | −0.0766 | −0.0002 | 1.1601 | 20.0148 | 1.1905 | 0.5434 | 0.11 | |
−2.30 | −32.13 | −2.21 | 15.54 | 0.54 | 0.76 | 1.93 | ||
−0.1935 | −0.0246 | −0.0003 | 1.5758 | 3.7192 | 0.6748 | 0.7811 | 0.06 | |
−1.48 | −4.60 | −5.61 | 10.07 | 0.55 | 1.02 | 3.79 | ||
0.6387 | −0.0039 | −0.0003 | 0.1833 | 9.9606 | 1.3638 | 0.7925 | 0.05 | |
9.34 | −6.89 | −12.64 | 3.07 | 0.50 | 0.73 | 2.98 | ||
1.0833 | −0.0178 | −0.0001 | 0.3694 | 19.1867 | 0.8490 | 0.6324 | 0.02 | |
11.37 | −9.60 | −3.81 | 7.46 | 0.64 | 0.86 | 1.66 | ||
0.5641 | −0.0259 | −0.0001 | 0.7442 | 17.9196 | 0.6773 | 0.7096 | 0.04 | |
2.57 | −16.14 | −6.16 | 2.95 | 0.61 | 0.71 | 1.98 | ||
1.7170 | −0.0248 | −0.0001 | −1.0795 | 31.8163 | 0.7747 | 0.6716 | 0.02 | |
5.34 | −14.95 | −18.50 | −4.68 | 0.46 | 0.52 | 1.19 | ||
−0.4147 | −0.0284 | −0.0001 | 1.3179 | 10.0024 | 0.9075 | 0.6651 | 0.03 | |
−1.61 | −20.99 | −7.08 | 5.77 | 0.58 | 0.83 | 1.79 | ||
−0.2556 | −0.0326 | −0.0009 | 1.4338 | 4.5136 | 0.1219 | 0.8214 | 0.06 | |
−1.55 | −3.85 | −2.66 | 4.67 | 0.63 | 0.82 | 3.68 | ||
Panel B: Asia markets | ||||||||
0.1207 | −0.0094 | −0.0001 | 0.5103 | 6.9450 | 0.3314 | 0.7879 | 0.02 | |
2.12 | −2.56 | −2.19 | 2.94 | 0.65 | 1.01 | 3.95 | ||
−1.0216 | −0.0442 | −0.0002 | 6.4460 | 32.0478 | 0.2750 | 0.9500 | 0.12 | |
−11.15 | −23.74 | −4.50 | 20.96 | 0.44 | 0.28 | 10.56 | ||
−0.7236 | −0.0336 | 0.0000 | 3.4093 | 0.4263 | 0.1135 | 0.9000 | 0.03 | |
−1.61 | −5.82 | 0.61 | 4.01 | 0.81 | 2.03 | 20.63 | ||
0.2860 | −0.0603 | −0.0004 | 0.4074 | 13.0539 | 0.9830 | 0.7781 | 0.06 | |
4.19 | −12.09 | −5.39 | 3.33 | 0.48 | 0.60 | 2.36 | ||
Panel C: Latin America markets | ||||||||
0.5163 | −0.0164 | −0.0001 | 0.5717 | 6.4776 | 0.2463 | 0.9144 | 0.01 | |
2.16 | −7.02 | −4.65 | 3.17 | 0.34 | 0.58 | 5.73 | ||
−3.0950 | −0.0347 | −0.0002 | 2.7405 | 31.0225 | 2.3343 | 0.3746 | 0.05 | |
−7.63 | −16.44 | −18.50 | 6.62 | 0.73 | 1.08 | 0.78 | ||
−0.6656 | −0.0005 | 0.0000 | 1.4695 | 32.2105 | 0.4877 | 0.9732 | 0.01 | |
−12.83 | −2.04 | 1.39 | 42.70 | 0.30 | 0.21 | 22.08 | ||
0.8966 | −0.0164 | −0.0001 | 0.2713 | 1.4323 | 0.8697 | 0.8173 | 0.01 | |
13.69 | −12.74 | −2.13 | 3.49 | 0.25 | 0.83 | 4.01 |
Market | C | ||||||||
---|---|---|---|---|---|---|---|---|---|
Panel A. World and G7 markets | |||||||||
−0.1956 | −0.0490 | −0.0025 | −0.0002 | 1.6683 | 4.9411 | 0.7551 | 0.7382 | 0.06 | |
−5.65 | −13.46 | −6.18 | −7.90 | 20.97 | 0.61 | 1.04 | 3.05 | ||
0.6146 | −0.0219 | −0.0099 | −0.0001 | 0.6372 | 9.4522 | 0.4954 | 0.7279 | 0.06 | |
3.72 | −12.69 | −11.55 | −3.86 | 3.41 | 0.56 | 0.65 | 1.84 | ||
1.0427 | −0.0151 | −0.0032 | −0.0001 | 0.0877 | 20.3605 | 1.5996 | 0.5976 | 0.01 | |
20.08 | −7.44 | −5.58 | −6.38 | 3.48 | 0.55 | 0.91 | 1.44 | ||
0.7044 | −0.0309 | −0.0061 | −0.0001 | 0.7191 | 25.5986 | 0.8744 | 0.7027 | 0.03 | |
4.93 | −34.17 | −9.23 | −6.26 | 4.79 | 0.55 | 0.65 | 1.72 | ||
1.7508 | −0.0217 | −0.0111 | −0.0001 | −1.0915 | 23.5601 | 0.2525 | 0.8586 | 0.03 | |
7.92 | −20.60 | −8.97 | −11.23 | −5.62 | 0.35 | 0.33 | 2.49 | ||
−0.8170 | −0.0332 | −0.0063 | 0.0001 | 1.1227 | 12.5512 | 0.7267 | 0.6820 | 0.06 | |
−1.68 | −15.50 | −5.19 | −2.36 | 2.78 | 0.49 | 0.66 | 1.45 | ||
0.1867 | −0.0140 | −0.0455 | −0.0006 | 1.1887 | 5.6923 | 0.1482 | 0.7280 | 0.10 | |
1.10 | −1.66 | −7.98 | −2.15 | 3.59 | 0.88 | 1.10 | 3.03 | ||
−0.1956 | −0.0490 | −0.0025 | −0.0002 | 1.6683 | 4.9411 | 0.7551 | 0.7382 | 0.06 | |
−5.65 | −13.46 | −6.18 | −7.90 | 20.97 | 0.61 | 1.04 | 3.05 | ||
Panel B: Asia markets | |||||||||
−0.3387 | −0.0155 | −0.0032 | −0.0001 | 1.2814 | 17.7666 | 0.7268 | 0.7689 | 0.01 | |
−1.67 | −4.15 | −2.11 | −6.57 | 4.35 | 0.51 | 0.70 | 2.56 | ||
−0.9896 | −0.0432 | −0.0071 | −0.0001 | 6.3692 | 66.7758 | 2.0890 | 0.8414 | 0.12 | |
−8.23 | −17.72 | −3.99 | −2.72 | 16.25 | 0.32 | 0.42 | 2.59 | ||
−0.7436 | −0.0306 | −0.0077 | 0.0000 | 3.2097 | 0.3139 | 0.1099 | 0.8933 | 0.03 | |
−1.38 | −4.59 | −2.63 | 0.53 | 3.18 | 0.98 | 2.58 | 23.77 | ||
0.2991 | −0.0613 | −0.0069 | −0.0004 | 0.4483 | 14.5963 | 0.5164 | 0.8470 | 0.06 | |
2.44 | −13.43 | −8.97 | −6.04 | 3.42 | 0.41 | 0.45 | 2.65 | ||
Panel C: Latin America markets | |||||||||
0.4713 | −0.0132 | −0.0030 | −0.0001 | 0.4692 | 25.2113 | 0.4703 | 0.7741 | 0.01 | |
2.36 | −6.41 | −7.03 | −12.28 | 3.15 | 0.50 | 0.54 | 2.13 | ||
−3.1065 | −0.0359 | −0.0048 | −0.0001 | 2.7365 | 13.1636 | 1.0070 | 0.3709 | 0.06 | |
−4.58 | −19.23 | −3.10 | −3.08 | 4.43 | 1.06 | 1.48 | 1.08 | ||
−0.2194 | 0.0014 | −0.0003 | −0.0001 | 1.1443 | 1.6039 | 0.1039 | 0.8855 | 0.01 | |
−0.61 | 1.63 | −0.11 | −2.29 | 3.23 | 0.56 | 1.23 | 8.29 | ||
0.9026 | −0.0182 | −0.0037 | −0.0001 | 0.2543 | 1.9193 | 0.6885 | 0.8396 | 0.01 | |
9.74 | −14.62 | −3.42 | −3.16 | 1.96 | 0.33 | 0.81 | 4.48 |
Mean | Median | Maximum | Minimum | Std. Dev. | Skewness | Kurtosis | Observations | |
---|---|---|---|---|---|---|---|---|
Panel A | ||||||||
0.7599 | 0.7592 | 0.9626 | 0.4668 | 0.0650 | −0.4153 | 5.2704 | 380 | |
0.7098 | 0.7305 | 0.9169 | 0.3101 | 0.1212 | −0.7925 | 3.1743 | 380 | |
0.7196 | 0.7490 | 0.9377 | 0.2030 | 0.1324 | −1.2736 | 4.6736 | 380 | |
0.5984 | 0.6500 | 0.8452 | 0.0433 | 0.1823 | −0.8441 | 2.7822 | 380 | |
0.7616 | 0.7894 | 0.8994 | 0.4273 | 0.0836 | −1.3870 | 5.0310 | 380 | |
0.5307 | 0.5473 | 0.7848 | 0.2251 | 0.1095 | −0.3409 | 2.3949 | 380 | |
Panel B | ||||||||
0.2455 | 0.2651 | 0.4955 | −0.1083 | 0.1102 | −0.3254 | 2.7438 | 327 | |
0.3956 | 0.4421 | 0.8556 | −0.2723 | 0.2371 | −0.7024 | 2.8191 | 379 | |
0.5141 | 0.5690 | 0.8507 | −0.0075 | 0.2136 | −0.8048 | 2.6565 | 380 | |
0.6077 | 0.6150 | 0.7789 | 0.1657 | 0.0947 | −1.0525 | 5.2400 | 380 | |
Panel C | ||||||||
0.5565 | 0.5742 | 0.6860 | 0.2852 | 0.0796 | −1.0028 | 3.8424 | 325 | |
0.3911 | 0.4086 | 0.6213 | −0.3459 | 0.1327 | −1.6380 | 8.9068 | 380 | |
−0.0573 | −0.0755 | 0.1674 | −0.2240 | 0.0821 | 0.4818 | 2.3176 | 353 | |
0.5820 | 0.6234 | 0.8478 | −0.0773 | 0.1549 | −0.9141 | 3.9936 | 380 |
EPU_CA | EPU_FR | EPU_GM | EPU_IT | EPU_UK | EPU_JP | |
---|---|---|---|---|---|---|
EPU_US | 0.75 | 0.60 | 0.72 | 0.54 | 0.43 | 0.46 |
19.59 | 12.88 | 17.95 | 10.92 | 8.20 | 8.82 | |
EPU_CN | EPU_IN | EPU_KO | EPU_SG | |||
EPU_US | 0.57 | 0.49 | 0.58 | 0.75 | ||
10.05 | 8.27 | 10.38 | 16.73 | |||
EPU_BR | EPU_CE | EPU_CO | EPU_MX | |||
EPU_US | 0.27 | 0.19 | −0.04 | 0.01 | ||
4.44 | 3.09 | −0.64 | 0.20 |
Correlation | ||||||||
---|---|---|---|---|---|---|---|---|
0.3082 | 0.0540 | 0.0214 | 0.0572 | 0.0013 | 1.7428 | 0.1414 | 0.15 | |
14.64 | 12.15 | 6.30 | 9.65 | 2.08 | 2.06 | 0.74 | ||
0.3529 | 0.0661 | 0.0446 | 0.0135 | 0.0012 | 2.1691 | 0.0570 | 0.07 | |
12.28 | 10.77 | 15.30 | 2.01 | 1.53 | 2.19 | 0.27 | ||
0.1359 | 0.1280 | 0.0100 | 0.0035 | 0.0067 | 3.7468 | 0.0504 | 0.08 | |
3.83 | 17.05 | 4.34 | 0.37 | 0.92 | 1.58 | 0.22 | ||
0.3709 | 0.0881 | 0.0200 | −0.0252 | 0.0011 | 3.9813 | 0.0546 | 0.11 | |
20.82 | 33.51 | 5.25 | −5.91 | 1.30 | 1.54 | 0.19 | ||
0.7733 | 0.0001 | 0.0002 | 0.0104 | 0.0001 | 0.4253 | 0.5873 | 0.14 | |
116.38 | 3.18 | 4.50 | 3.95 | 2.56 | 4.37 | 10.45 | ||
−0.2949 | 0.1565 | 0.0421 | 0.0163 | 0.0034 | 2.5370 | 0.0474 | 0.15 | |
−22.56 | 71.34 | 17.99 | 14.70 | 1.79 | 2.08 | 0.30 | ||
0.0437 | 0.1389 | 0.0811 | −0.1321 | 0.0019 | 1.6032 | 0.1353 | 0.35 | |
0.97 | 14.33 | 15.48 | −9.34 | 1.41 | 1.82 | 0.56 | ||
0.1419 | 0.0132 | 0.0505 | 0.0366 | 0.0028 | 3.6815 | −0.0009 | 0.11 | |
6.37 | 2.49 | 10.77 | 4.04 | 1.05 | 1.43 | −0.01 | ||
−0.3811 | 0.1441 | 0.1680 | 0.0769 | 0.0135 | 2.5987 | 0.0766 | 0.21 | |
−8.91 | 12.55 | 20.43 | 4.53 | 1.33 | 1.56 | 0.30 | ||
0.4040 | −0.0143 | 0.0081 | 0.1124 | 0.0017 | 2.5554 | 0.0895 | 0.12 | |
21.49 | −2.91 | 2.82 | 14.39 | 1.99 | 2.28 | 0.44 | ||
−0.2211 | 0.0141 | 0.0214 | 0.1649 | 0.0428 | 1.9290 | −0.1092 | 0.05 | |
−3.89 | 1.78 | 6.66 | 15.73 | 2.81 | 1.90 | −1.38 | ||
−0.0275 | 0.0680 | 0.0706 | 0.0629 | 0.0055 | 2.9306 | 0.0574 | 0.13 | |
−0.67 | 7.49 | 10.33 | 6.85 | 1.02 | 1.50 | 0.20 | ||
−0.0488 | 0.0877 | 0.0069 | −0.0168 | 0.0011 | 2.3848 | 0.2668 | 0.05 | |
−3.14 | 14.20 | 37.91 | −3.03 | 0.91 | 1.41 | 0.91 | ||
−0.2679 | 0.1921 | 0.0406 | 0.0210 | 0.0019 | 1.7879 | 0.1860 | 0.01 | |
−8.79 | 21.44 | 8.67 | 2.18 | 1.66 | 2.18 | 1.38 |
Correlation | ||||||||
---|---|---|---|---|---|---|---|---|
0.7527 | −0.0001 | −0.0001 | 0.0041 | 0.0006 | 1.4384 | 0.4245 | 0.11 | |
48.58 | −3.85 | −4.03 | 21.38 | 1.11 | 1.60 | 1.81 | ||
0.6756 | −0.0003 | 0.0008 | −0.0041 | 0.0009 | 1.1234 | 0.1216 | 0.02 | |
87.59 | −9.71 | 11.56 | −6.81 | 4.53 | 5.68 | 2.03 | ||
0.6976 | 0.0000 | 0.0008 | −0.0006 | 0.0019 | 1.1669 | 0.2340 | 0.02 | |
95.73 | −3.20 | 19.98 | −3.59 | 1.98 | 3.25 | 2.46 | ||
0.5955 | −0.0003 | 0.0010 | −0.0014 | 0.0016 | 4.0129 | 0.0697 | 0.05 | |
109.28 | −10.86 | 23.64 | −3.53 | 0.99 | 1.72 | 0.32 | ||
0.7351 | −0.0001 | 0.0007 | −0.0014 | 0.0014 | 3.1169 | 0.0965 | 0.03 | |
76.94 | −17.96 | 25.99 | −9.75 | 1.43 | 1.74 | 0.48 | ||
0.4487 | 0.0001 | 0.0009 | −0.0022 | 0.0016 | 4.5319 | 0.0904 | 0.05 | |
129.54 | 3.79 | 114.14 | −5.36 | 1.19 | 1.74 | 0.46 | ||
0.2810 | 0.0004 | −0.0004 | −0.0011 | 0.0079 | 3.8101 | 0.1116 | 0.14 | |
80.30 | 20.79 | −12.32 | −4.57 | 1.08 | 1.21 | 0.37 | ||
0.5689 | 0.0003 | −0.0006 | 0.0109 | 0.0081 | 5.3505 | 0.0813 | 0.03 | |
94.98 | 12.87 | −7.76 | 27.61 | 0.99 | 1.25 | 0.27 | ||
0.4079 | 0.0005 | 0.0014 | −0.0023 | 0.0053 | 4.3679 | −0.0254 | 0.02 | |
57.36 | 12.46 | 19.16 | −4.65 | 2.52 | 2.31 | −1.53 | ||
0.6785 | 0.0003 | −0.0004 | 0.0011 | 0.0007 | 0.4594 | 0.3534 | 0.04 | |
57.29 | 2.79 | −3.04 | 2.48 | 2.52 | 3.57 | 3.11 | ||
0.5954 | 0.0001 | −0.0001 | −0.0033 | 0.0005 | 1.1062 | 0.1413 | 0.02 | |
84.64 | 3.64 | −2.03 | −5.65 | 2.80 | 3.03 | 1.01 | ||
0.4192 | 0.0001 | −0.0001 | −0.0006 | 0.0100 | 5.3182 | −0.0499 | 0.01 | |
90.98 | 3.13 | −2.29 | −7.72 | 1.29 | 1.33 | −0.17 | ||
−0.0954 | 0.0001 | −0.0002 | −0.0052 | 0.0003 | 0.7585 | 0.1739 | 0.02 | |
−13.36 | 2.61 | −2.84 | −0.99 | 3.92 | 5.05 | 2.03 | ||
0.4171 | 0.0005 | 0.0012 | −0.0139 | 0.0007 | 0.0941 | 0.8695 | 0.04 | |
17.17 | 4.76 | 4.48 | −1.77 | 2.58 | 3.86 | 30.75 |
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Chiang, T.C. Evidence of Economic Policy Uncertainty and COVID-19 Pandemic on Global Stock Returns. J. Risk Financial Manag. 2022, 15, 28. https://doi.org/10.3390/jrfm15010028
Chiang TC. Evidence of Economic Policy Uncertainty and COVID-19 Pandemic on Global Stock Returns. Journal of Risk and Financial Management. 2022; 15(1):28. https://doi.org/10.3390/jrfm15010028
Chicago/Turabian StyleChiang, Thomas Chinan. 2022. "Evidence of Economic Policy Uncertainty and COVID-19 Pandemic on Global Stock Returns" Journal of Risk and Financial Management 15, no. 1: 28. https://doi.org/10.3390/jrfm15010028