Economic policy uncertainty and stock market sector time-varying spillover effect: Evidence from China

Author:

Dai Zhifeng,Peng Yongxin

Funder

Natural Science Foundation of Hunan Province

National Natural Science Foundation of China

Publisher

Elsevier BV

Subject

Economics and Econometrics,Finance

Reference64 articles.

1. Risk spillover from crude oil prices to GCC stock market returns: New evidence during the COVID-19 outbreak;Abduzayed;North-American Journal of Economics and Finance,2021

2. The seeds of a crisis: A theory of bank liquidity and risk taking over the business cycle;Acharya;Journal of Financial Economics,2012

3. Dynamic co-movements of stock market returns, implied volatility and policy uncertainty;Antonakakis;Economics Letters,2013

4. Oil volatility, oil and gas firms and portfolio diversification;Antonakakis;Energy Economics,2018

5. International monetary policy spillovers: Evidence from a time-varying parameter vector autoregression;Antonakakis;International Review of Financial Analysis,2019

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