オオタケ トシツグ   OTAKE Toshitsugu   大竹 敏次    所属   立命館アジア太平洋大学  国際経営学部    職種   教授
言語種別	英語
発行・発表の年月	2024/12
形態種別	学術論文
査読	査読あり
標題	Economic policy uncertainty and stock market crash risk: international evidence
執筆形態	共著
掲載誌名	Macroeconomics and Finance in Emerging Market Economies
掲載区分	国外
出版社・発行元	Taylor & Francis
巻・号・頁	1(1),pp.1-21
総ページ数	21
概要	The current study does not only aim to investigate the impact of economic policy uncertainty on crash risk across selected countries but also to examine the effects of stock market valuation, return & volatility on crash risk. The study uses monthly data from 21 countries over the last 13 years to document international evidence on the relationships of concern. Interestingly, higher economic policy Uncertainty is associated with lower crash risk. The findings indicate that stock markets characterized by high returns, high volatility, high liquidity, and high investor sentiment are less likely to experience market crashes. Moreover, the crash risk increased during the COVID-19 period. Conversely, the results indicate that crash risk does not respond significantly to the Russian-Ukrain war. The magnitude of the effects differs between developed and emerging countries.
DOI	10.1080/17520843.2024.2440191