This paper examines the impact of changes in economic policy uncertainty (EPU) and COVID-19 shock on stock returns. Tests of 16 global stock market indices, using monthly data from January 1990 to August 2021, suggest a negative relation between the stock return and a country’s EPU. Evidence...

This paper investigates the dynamic correlations between Chinese stock return and global markets at both market and sectoral levels. Statistics suggest that stock-return correlations across markets are time-varying and display structural breaks. The evidence indicates that the stock returns of...

This paper investigates the dynamic correlations between Chinese stock return and global markets at both market and sectoral levels. Statistics suggest that stock-return correlations across markets are time-varying and display structural breaks. The evidence indicates that the stock returns of...