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OTAKE Toshitsugu
Department Ritsumeikan Asia Pacific University College of International Management Position Professor |
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| Language | English |
| Publication Date | 2024/12 |
| Type | Research paper |
| Peer Review | Peer reviewed |
| Title | Economic policy uncertainty and stock market crash risk: international evidence |
| Contribution Type | Joint Work |
| Journal | Macroeconomics and Finance in Emerging Market Economies |
| Journal Type | Another Country |
| Publisher | Taylor & Francis |
| Volume, Issue, Page | 1(1),pp.1-21 |
| Total page number | 21 |
| Details | 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 |