Economic policy uncertainty, short-term reversals, and investor sentiment

Chun Wai Andy Chui

doi:10.1142/S0219091523500108

Economic policy uncertainty, short-term reversals, and investor sentiment

Chun Wai Andy Chui

School of Accounting and Finance

Research output: Journal article publication › Journal article › Academic research › peer-review

2 Citations (Scopus)

Abstract

This study finds that the predictability of economic policy uncertainty on short-term reversals is stronger among stocks exposed more to the volatility (VIX) and economic policy uncertainty (EPU) indexes. In addition, the predictability of the VIX index on short-term reversals is stronger among stocks exposed more to this index and the Aruoba, Diebold, and Scotti business conditions index (ADS). Furthermore, the finding is robust after controlling for the other popular investor sentiment indexes, the Fama-French five risk factors, financial crises, and firm size.

Original language	English
Article number	2350010
Number of pages	34
Journal	Review of Pacific Basin Financial Markets and Policies
Volume	26
Issue number	2
DOIs	https://doi.org/10.1142/S0219091523500108
Publication status	Published - Jun 2023

ASJC Scopus subject areas

General Business,Management and Accounting

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10.1142/S0219091523500108

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abstract = "This study finds that the predictability of economic policy uncertainty on short-term reversals is stronger among stocks exposed more to the volatility (VIX) and economic policy uncertainty (EPU) indexes. In addition, the predictability of the VIX index on short-term reversals is stronger among stocks exposed more to this index and the Aruoba, Diebold, and Scotti business conditions index (ADS). Furthermore, the finding is robust after controlling for the other popular investor sentiment indexes, the Fama-French five risk factors, financial crises, and firm size.",

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Economic policy uncertainty, short-term reversals, and investor sentiment

Abstract

ASJC Scopus subject areas

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