The impact of economic policy uncertainty on equity market volatility

Muxue Zhang

doi:10.54691/bcpbm.v43i.4658

Authors

Muxue Zhang

DOI:

https://doi.org/10.54691/bcpbm.v43i.4658

Keywords:

Economic Policy Uncertainty Index; Stock market volatility.

Abstract

This paper uses the monthly China Economic Policy Uncertainty Index as a proxy variable for China's economic policy uncertainty and the SSE Index volatility as a measure of stock market volatility to study the impact of economic policy uncertainty on stock market volatility. Data from January 2007 to October 2021 are studied, in addition to inertia factors, time breakpoints, macro factors and stock market factors respectively to facilitate the impact on stock market volatility. The findings of this paper expand the research boundary and provide a reference for ideas for macro policy formulation and capital market investment.

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