Moreover, the negative impact of economic policy uncertainty on the stock liquidity can be mitigated by increasing voluntary disclosures. Originality/value - This study enriches the literature on factors affecting the stock liquidity from the perspective of macroeconomic policy and provides a reference ...
Since Baker et al. [6] introduced EPU index, growing literatures focus attention on the role of economic policy uncertainty in financial markets. Pástor and Veronesi [7] examined the effects of political uncertainty on stock prices, and showed that political uncertainty increases risk premia and ...
We utilize the multifractal detrended cross-correlation analysis (MF-DCCA) to investigate the cross-correlations between the US economic policy uncertainty (EPU) and US stock markets in the framework of Fractal Market Hypothesis (FMH). The data contain daily closing values of EPU, and the returns...
The recent financial crisis has been characterized by unprecedented monetary policy interventions of central banks with the intention to stabilize financial markets and the real economy. This paper sheds light on the actual impact of monetary policy on stock liquidity and thereby addresses its role as...
In this speech, John Gieve, Deputy Governor for financial stability, discusses the range of uncertainty facing monetary policy makers, emerging lessons from the US sub-prime market and the significance of sovereign wealth funds and other influential investors. He argues that the degree of uncertainty...
Economic Policy Uncertainty (EPU) leads to a decline in financial stability (Phan et al., 2021). Existing literature has identified substantial evidence of the impact of EPU on financial markets, with high EPU leading to reduced financial stability, increased stock market volatility, and liquidity ...
We provide evidence of a link between firm dividend policy and stock market liquidity. In the cross section, owners of less (more) liquid common stock are more (less) likely to receive cash dividends. Predictions of the proportion of dividend payers based on 1963–1977 cross-sectional estimates...
We document a strong co-movement between the VIX, the stock market option-based implied volatility, and monetary policy. We decompose the VIX into two components, a proxy for risk aversion and expected stock market volatility ("uncertainty"), and analyze their dynamic interactions with monetary po...
Using data from the Shanghai Stock Exchange 50 exchange-traded fund (SSE 50 ETF) options, we examine the impact of economic policy uncertainty (EPU) on options market participation. We find that increased EPU significantly induces investor participation in the options market, and this positive effe...
COVID-19 pandemic, oil prices, stock market, geopolitical risk and policy uncertainty nexus in the US economy: Fresh evidence from the wavelet-based approach International Review of Financial Analysis, 70 (2020), Article 101496, 10.1016/j.irfa.2020.101496 View in ScopusGoogle Scholar Solarin et ...