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The spillover effects of economic policy uncertainty on the oil, gold, and stock markets: Evidence from China
Author(s) -
Gao Ruzhao,
Zhao Yancai,
Zhang Bing
Publication year - 2021
Publication title -
international journal of finance and economics
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.505
H-Index - 39
eISSN - 1099-1158
pISSN - 1076-9307
DOI - 10.1002/ijfe.1898
Subject(s) - spillover effect , economics , volatility (finance) , stock market , china , stock (firearms) , monetary economics , gold as an investment , financial crisis , crude oil , economic policy , international economics , macroeconomics , financial economics , political science , mechanical engineering , paleontology , horse , biology , petroleum engineering , law , engineering
In this study, we investigate the different spillover levels of economic policy uncertainty (EPU) on the oil, gold, and stock markets in China. EPU has the highest levels of the growth and volatility spillover on the gold market, and EPU transmits the lowest levels of growth and volatility spillovers to the oil market. EPU receives the highest level of return spillover from the oil market and the lowest from the gold market. However, EPU receives a higher level of the volatility spillover from the gold and stock markets. Regarding growth spillover, EPU is the net spillover receiver from the oil market and the net spillover transmitter to the gold market. Regarding volatility spillover, EPU is a main spillover receiver from all three markets. All net spillovers from EPU to the oil, gold, and stock markets are time‐varying. The recent financial crisis exerts significant effects on the net spillovers of EPU on the three markets.