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Xiaqing Su received a B.Sc. degree in finance and management from Shandong University of Finance and Economics, Jinan, China in 2018. She is currently pursuing an M.Sc. degree with the Ocean University of China, Qingdao, China. Her research interest is concerned with financial risk management and methods from macroeconomics and quantitative economics.
Following generalized variance decomposition, we identify the transmission structure of financial shock among ten sectors in China. Then, we examine whether economic policy uncertainty (EPU) affects it through GARCH-MIDAS regression. We find that consumer discretionary, industrials, and materials sectors are systemically important industries during the sample period. Further research of dynamic analysis shows that each sector acts in a time-varying role in this structure. The results of the GARCH-MIDAS regression indicate that none of the selected EPU indexes has a significant long-term impact on the total volatility spillover of the inter-sector stock market in China. However, the EPUs do affect some sectors’ spillover indexes in the long run, and they are significantly heterogeneous. This paper can provide regulatory suggestions for policymakers and reasonable asset allocation and risk avoidance methods for investors.
Xiaqing Su; Zhe Liu. Sector Volatility Spillover and Economic Policy Uncertainty: Evidence from China’s Stock Market. Mathematics 2021, 9, 1411 .
AMA StyleXiaqing Su, Zhe Liu. Sector Volatility Spillover and Economic Policy Uncertainty: Evidence from China’s Stock Market. Mathematics. 2021; 9 (12):1411.
Chicago/Turabian StyleXiaqing Su; Zhe Liu. 2021. "Sector Volatility Spillover and Economic Policy Uncertainty: Evidence from China’s Stock Market." Mathematics 9, no. 12: 1411.