Chiang, Thomas C. - In: China Finance Review International 11 (2021) 4, pp. 474-501
Purpose: This paper investigates the impact of a change in economic policy uncertainty <m:math xmlns:m="http://www.w3.org/1998/Math/MathML"><m:mrow><m:mrow><m:mo stretchy="true">(</m:mo><m:mrow><m:mi mathvariant="normal">Δ</m:mi><m:msub><m:mrow><m:mtext>EPU</m:mtext></m:mrow><m:mi>t</m:mi></m:msub></m:mrow><m:mo stretchy="true">)</m:mo></m:mrow></m:mrow></m:math> and the absolute value of a change in geopolitical risk <m:math xmlns:m="http://www.w3.org/1998/Math/MathML"><m:mrow><m:mrow><m:mo stretchy="true">(</m:mo><m:mrow><m:mrow><m:mo stretchy="true">|</m:mo><m:mrow><m:mi mathvariant="normal">Δ</m:mi><m:msub><m:mrow><m:mtext>GPR</m:mtext></m:mrow><m:mi>t</m:mi></m:msub></m:mrow><m:mo stretchy="true">|</m:mo></m:mrow></m:mrow><m:mo stretchy="true">)</m:mo></m:mrow></m:mrow></m:math> on the returns of stocks, bonds and gold in the Chinese market. Design/methodology/approach: The paper uses Engle's (2009) dynamic...