七国集团国家的经济政策不确定性和股票市场:一个小组的门效应前景
Maysoon Khojah1, Masood Ahmed2, Muhammad Asif Khan3
1Accounting Department, College of Administrative and Financial Sciences, Saudi Electronic University, Riyadh, Saudi Arabia.
PloS one
|July 21, 2023
概括
经济政策的不确定性 (PU) 不对称地影响股票价格 (SP). 起初,上升的PU对SP产生积极影响,但超过一个门,它会变为负面,显示出非线性市场动态.
科学领域:
- 经济学 经济学 经济学
- 金融市场 金融市场
- 行为金融是行为金融.
背景情况:
- 经济政策的不确定性 (PU) 通常被认为会对股票价格 (SP) 产生负面影响.
- 现有文献经常假设线性关系,可能会忽视细微的市场反应.
- 不同的个人风险偏好表明PU对SP的非线性或不对称的影响.
研究的目的:
- 研究经济政策不确定性 (PU) 与股票价格 (SP) 之间的不对称 (非线性) 关系.
- 将风险偏好纳入对PU对SP的影响分析.
- 解决有关PU和SP非线性动态的文献上的空白.
主要方法:
- 专家小组对七国集团 (G7) 国家的数据进行了值分析.
- 检查PU对不同值的SP的影响.
- 统计建模用于识别非线性关系.
主要成果:
- 证据表明PU在G7国家对SP产生不对称的影响.
- 增加PU最初对SP产生积极影响,直到一个值 (值1).
- 在值1之后,PU的进一步增加会对SP (值2) 产生负面影响.
结论:
- 这项研究证实了PU和SP之间的不对称关系,挑战了线性假设.
- 调查结果与包括信息不对称,前景理论,行为金融和市场流动性等理论一致.
- 结果为面对政策不确定性的金融市场有效的风险管理提供了关键的见解.
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