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

3 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 index (VIX) and economic policy uncertainty index (EPU). In addition, the predictability of VIX on short-Term reversals is stronger among stocks exposed more to this index and the Aruoba-Diebold-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 - 1 Jun 2023

Keywords

Economic policy uncertainty
investor sentiment
liquidity provision
return reversals

ASJC Scopus subject areas

Finance
Economics and Econometrics

More information

10.1142/S0219091523500108

http://hdl.handle.net/10397/99756

Cite this

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AB - This study finds that the predictability of economic policy uncertainty on short-Term reversals is stronger among stocks exposed more to the volatility index (VIX) and economic policy uncertainty index (EPU). In addition, the predictability of VIX on short-Term reversals is stronger among stocks exposed more to this index and the Aruoba-Diebold-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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KW - liquidity provision

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

Abstract

Keywords

ASJC Scopus subject areas

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