Empirical Analysis of Economic Policy Uncertainty and Stock Returns in Asian Markets
Advances in Pacific Basin Business, Economics and Finance
ISBN: 978-1-78973-286-3, eISBN: 978-1-78973-285-6
Publication date: 21 August 2019
Abstract
This chapter tests the market risk and economic policy uncertainty (EPU) of five Asian stock market returns and finds positive and significant intertemporal relations between excess stock returns and conditional volatility/downside risk. The results support positive risk-return relations across five Asian markets after controlling for the lagged dividend yield and the change in EPU (
Keywords
Citation
Chiang, T.C. (2019), "Empirical Analysis of Economic Policy Uncertainty and Stock Returns in Asian Markets", Advances in Pacific Basin Business, Economics and Finance (Advances in Pacific Basin Business, Economics and Finance, Vol. 7), Emerald Publishing Limited, Leeds, pp. 63-87. https://doi.org/10.1108/S2514-465020190000007004
Publisher
:Emerald Publishing Limited
Copyright © 2019 Emerald Publishing Limited