دانلود رایگان مقاله منبع ریسک بازار سهام جهانی

Abstract

This study explores the effect of economic policy uncertainty (EPU) in four countries or regions (China, Japan, Europe, and the United States) on the contagion risk of investments in the global stock market. The stock returns of 22 stock markets worldwide are analyzed to determine which region’s EPU exhibits the greatest effect on regional systematic risk in the global stock market and on volatility risk in individual stock markets. First, all of the samples, the markets of different continents and the spillover indices of the developed and emerging markets, are calculated to observe the dynamic correlation among these markets with the aim of quantifying regional systematic risk and further examining the contagion risk effect of EPU. The results indicate the following: EPU in China is the most influential, and its contagion risk spreads to different regional markets, except for Europe; the effect of EPU in the United States is inferior to that in China; EPU in Japan merely influences contagion risk in emerging markets; contagion risk in European markets is not influenced by the four EPU indices; and EPU in Europe is not influenced by contagion risk in the global stock market. However, according to the volatility risk in each market, the EPU in Europe and China respectively influence Asian countries and European countries the most. These results may be attributable to the extremely high trade dependence among these countries because the performance of international enterprises is mainly determined by the economic policies of their trading partners.

4. Conclusion

This study explores whether EPU in China, Japan, Europe, and the United States results in contagion risk effects in the global stock market. The stock returns of 22 stock markets worldwide from 1995 to 2015 are analyzed to determine the sources of policy uncertainty that affect regional systematic risk in stock market investments and volatility risk in individual stock markets. In other words, we determine which economy has the most control over policies that affect stock market performance. The empirical results answer the following questions: 1. Which region’s EPU influences the global stock market the most? We determine that EPU in China is the most influential because, in addition to influencing Europe, it spreads contagion risk to all other regions. Regarding the effect of EPU in China on individual stock markets, European stock markets are most vulnerable to its effect. Different from other previous studies that have mainly explored the effect of EPU in the United States, we find that political and economic situations in China spread contagion risk in the global stock market, possibly because this study focuses on exploring the effect of policy uncertainty on risk in stock markets. Although the United States is the largest economy in the world, the stability of US policy is high, and the policies are implemented under consideration of the global economic situation, thus preventing the Unites States from spreading risk from EPU to stock markets. By contrast, EPU in China is relatively more exogenous, and thus policy uncertainty did not result from China’s responses to situations in other countries. Therefore, risk from EPU in China easily spreads to other countries.