Economic uncertainty and Australian stock returns

2021 ◽  
Author(s):  
Xiaoyue Chen ◽  
Bin Li ◽  
Andrew C. Worthington
Keyword(s):  
Stock Returns ◽  
Economic Uncertainty

scholarly journals Bayesian analysis of time-varying interactions between stock returns and foreign equity flows

2021 ◽  
Vol 7 (1) ◽  
Author(s):  
Boubekeur Baba ◽  
Güven Sevil
Keyword(s):  
Stock Returns ◽  
Negative Feedback ◽  
Positive Feedback ◽  
Positive Response ◽  
Time Varying ◽  
Economic Uncertainty ◽  
Foreign Investors ◽  
New Findings ◽  
Net Flows ◽  
Feedback Trading

AbstractThis study discusses the trading behavior of foreign investors with respect to economic uncertainty in the South Korean stock market from a time-varying perspective. We employ a news-based measure of economic uncertainty along with the model of time-varying parameter vector autoregression with stochastic volatility. The empirical analysis reveals several new findings about foreign investors’ trading behaviors. First, we find evidence that positive feedback trading often appears during periods of high economic uncertainty, whereas negative feedback trading is exclusively observable during periods of low economic uncertainty. Second, the foreign investors’ feedback trading appears mostly to be well-timed and often leads the time-varying economic uncertainty except in periods of global crises. Third, lagged negative (positive) response of net flows to economic uncertainty is found to be coupled with lagged positive (negative) feedback trading. Fourth, the study documents an asymmetric response of foreign investors with regard to negative and positive shocks of economic uncertainty. Specifically, we find that they instantly turn to positive feedback trading after a negative contemporaneous response of net flows to shocks of economic uncertainty. In contrast, they move slowly toward negative feedback trading after a positive response of net flows to uncertainty shocks.

scholarly journals The Role of Economic Uncertainty in UK Stock Returns

2019 ◽  
Author(s):  
Jun Gao ◽  
Sheng Zhu ◽  
Niall O'Sullivan ◽  
Meadhbh Sherman
Keyword(s):  
Stock Returns ◽  
Economic Uncertainty

Is economic uncertainty priced in the cross-section of stock returns?

2017 ◽  
Vol 126 (3) ◽  
pp. 471-489 ◽  
Author(s):  
Turan G. Bali ◽  
Stephen J. Brown ◽  
Yi Tang
Keyword(s):  
Stock Returns ◽  
Cross Section ◽  
Economic Uncertainty ◽  
The Cross

scholarly journals The Role of Economic Uncertainty in UK Stock Returns

2019 ◽  
Vol 12 (1) ◽  
pp. 5 ◽  
Author(s):  
Jun Gao ◽  
Sheng Zhu ◽  
Niall O’Sullivan ◽  
Meadhbh Sherman
Keyword(s):  
Economic Policy ◽  
Stock Returns ◽  
Economic Activity ◽  
Policy Uncertainty ◽  
Economic Uncertainty ◽  
Economic Policy Uncertainty ◽  
Macroeconomic Uncertainty ◽  
Uncertainty Indices ◽  
The Uk

We investigated the role of domestic and international economic uncertainty in the cross-sectional pricing of UK stocks. We considered a broad range of financial market variables in measuring financial conditions to obtain a better estimate of macroeconomic uncertainty compared to previous literature. In contrast to many earlier studies using conventional principal component analysis to estimate economic uncertainty, we constructed new economic activity and inflation uncertainty indices for the UK using a time-varying parameter factor-augmented vector autoregressive (TVP-FAVAR) model. We then estimated stock sensitivity to a range of macroeconomic uncertainty indices and economic policy uncertainty indices. The evidence suggests that economic activity uncertainty and UK economic policy uncertainty have power in explaining the cross-section of UK stock returns, while UK inflation, EU economic policy and US economic policy uncertainty factors are not priced in stock returns for the UK.

Overcoming “The Third Way” Concept

2006 ◽  
pp. 126-134
Author(s):  
L. Evstigneeva ◽  
R. Evstigneev
Keyword(s):  
Economic Research ◽  
Economic Uncertainty ◽  
Third Way ◽  
The Third ◽  
Linear Approach ◽  
The World ◽  
Non Linear

“The Third Way” concept is still widespread all over the world. Growing socio-economic uncertainty makes the authors revise the concept. In the course of discussion with other authors they introduce a synergetic vision of the problem. That means in the first place changing a linear approach to the economic research for a non-linear one.

Freedom Indices and Capital Asset Pricing Model: Some Malaysian Evidence

2020 ◽  
Vol 1 (1) ◽  
pp. 1-21
Author(s):  
Ying Tay Lee ◽  
Devinaga Rasiah ◽  
Ming Ming Lai
Keyword(s):  
Human Rights ◽  
Asset Pricing ◽  
Stock Returns ◽  
Firm Size ◽  
Explanatory Power ◽  
Least Square ◽  
Press Freedom ◽  
Capital Asset Pricing ◽  
Capital Asset ◽  
Cross Sectional

Human rights and fundamental freedoms such as economic, political, and press freedoms vary widely from country to country. It creates opportunity and risk in investment decisions. Thus, this study is carried out to examine if the explanatory power of the model for capital asset pricing could be improved when these human rights movement indices are included in the model. The sample for this study comprises of 495 stocks listed in Bursa Malaysia, covering the sampling period from 2003 to 2013. The model applied in this study employed the pooled ordinary least square regression estimation. In addition, the robustness of the model is tested by using firm size as a controlled variable. The findings show that market beta as well as the economic and press freedom indices could explain the cross-sectional stock returns of the Malaysian stock market. By controlling the firm size, it adds marginally to the explanation of the extended CAP model which incorporated economic, political, and press freedom indices.

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