Unveiling the Relationship between Economic Policy Uncertainty and Stock Market Volatility--A Comparative Study of Overnight and Intraday Trading Sessions in China

DOI

10.2991/978-94-6463-506-5_9How to use a DOI?

Keywords

economic policy uncertainty; stock market volatility; overnight and intraday analysis

Abstract

With China’s economic evolution entering a new phase, the influence of economic policy uncertainty on the informational dynamics of financial markets has become increasingly pronounced. Although most research focuses on the effects of economic policy uncertainty on macroeconomics and corporate behavior, there has been little investigation into its impact on stock markets. Nevertheless, the correlation between economic policy uncertainty and stock market volatility is strong and has a significant impact on investors’ decision-making processes. However, the correlation between economic policy uncertainty and stock market volatility is strong, significantly impacting investors’ decision-making processes. Quantile regression offers distinct advantages over traditional techniques, particularly in detecting asymmetries in variable relationships. While most scholarly endeavors concentrate on assessing the impact of economic policy uncertainty (EPU) on daily fluctuations, policy shifts in foreign countries and global events can swiftly permeate domestic markets, consequently affecting overnight trading volatility. In light of these insights, this study disaggregates intraday volatility into overnight and intraday components. Investigating the influence of economic policy uncertainty (EPU) on overnight stock market volatility in China through quantile regression methods during intraday trading sessions reveals noteworthy insights. Specifically, EPU exhibits a positive association with overnight stock market volatility in the Chinese context, with its coefficient being statistically significant at the first quantile (0.05%), albeit insignificantly positive at other quantiles. Conversely, Economic Policy Uncertainty (EPU) exerts a statistically significant adverse impact on intraday stock market volatility, demonstrating a consistent negative correlation. These findings offer detailed insights into the impact of EPU on stock market volatility during different trading periods, shedding light on the intricate interplay between policy uncertainty and market behavior within the global arena.

Copyright

© 2024 The Author(s)

Open Access

Open Access This chapter is licensed under the terms of the Creative Commons Attribution-NonCommercial 4.0 International License (http://creativecommons.org/licenses/by-nc/4.0/), which permits any noncommercial use, sharing, adaptation, distribution and reproduction in any medium or format, as long as you give appropriate credit to the original author(s) and the source, provide a link to the Creative Commons license and indicate if changes were made.

Download article (PDF)

TY  - CONF
AU  - Haobo Lin
AU  - Yuchi Lu
AU  - Sixian Chen
PY  - 2024
DA  - 2024/09/02
TI  - Unveiling the Relationship between Economic Policy Uncertainty and Stock Market Volatility--A Comparative Study of Overnight and Intraday Trading Sessions in China
BT  - Proceedings of the 2024 4th International Conference on Enterprise Management and Economic Development (ICEMED 2024)
PB  - Atlantis Press
SP  - 69
EP  - 76
SN  - 2352-5428
UR  - https://doi.org/10.2991/978-94-6463-506-5_9
DO  - 10.2991/978-94-6463-506-5_9
ID  - Lin2024
ER  -