The causal relationship between economic policy uncertainty and stock returns in China and India : evidence from a bootstrap rolling window approach

dc.contributor.authorLi, Xiao-lin
dc.contributor.authorBalcilar, Mehmet
dc.contributor.authorGupta, Rangan
dc.contributor.authorChang, Tsangyao
dc.contributor.emailrangan.gupta@up.ac.zaen_ZA
dc.date.accessioned2016-04-26T06:06:49Z
dc.date.issued2016-03
dc.description.abstractThis article applies a bootstrap rolling-window causality test to assess the causal relationship between economic policy uncertainty (EPU) and stock returns in China and India. Empirical literature examining causality between two time series may suffer from inaccurate results when the underlying full-sample time series have structural changes. However, the bootstrap rolling-window approach enables us to identify possible time-varying causalities between time series based on sub-sample data. Using a twenty-four-months rolling window over the period 1995:02 to 2013:02 in China and 2003:02–2013:02 in India, we do find that there are bidirectional causal relationships between EPU and stock returns in several sub-periods rather than in the whole sample period. However, the association between EPU and stock returns is, in general, weak for these two emerging countries. Our findings have important implications for policy makers and investors.en_ZA
dc.description.departmentEconomicsen_ZA
dc.description.embargo2017-09-30
dc.description.librarianhb2016en_ZA
dc.description.urihttp://www.tandfonline.com/loi/mree20en_ZA
dc.identifier.citationXiao-lin Li, Mehmet Balcilar, Rangan Gupta & Tsangyao Chang (2016) The Causal Relationship Between Economic Policy Uncertainty and Stock Returns in China and India: Evidence from a Bootstrap Rolling Window Approach, Emerging Markets Finance and Trade, 52:3, 674-689, DOI: 10.1080/1540496X.2014.998564.en_ZA
dc.identifier.issn1540-496X (print)
dc.identifier.issn1558-0938 (online)
dc.identifier.other10.1080/1540496X.2014.998564
dc.identifier.urihttp://hdl.handle.net/2263/52155
dc.language.isoenen_ZA
dc.publisherRoutledgeen_ZA
dc.rights© Taylor & Francis Group, LLC. This is an electronic version of an article published in Emerging Markets Finance and Trade, vol. 52, no. 3, pp.674=689, 2016. doi : 10.1080/1540496X.2014.998564. Emerging Markets Finance and Trade is available online at : http://www.tandfonline.com/loi/mree20.en_ZA
dc.subjectStock returnsen_ZA
dc.subjectRolling windowen_ZA
dc.subjectBootstrapen_ZA
dc.subjectTime-varying causalityen_ZA
dc.subjectEconomic policy uncertainty (EPU)en_ZA
dc.titleThe causal relationship between economic policy uncertainty and stock returns in China and India : evidence from a bootstrap rolling window approachen_ZA
dc.typePostprint Articleen_ZA

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