The Causal Relationship Between Economic Policy Uncertainty and Stock Returns in China and India: Evidence from a Bootstrap Rolling Window Approach

• Published in: Emerging markets finance & trade Vol. 52; no. 3; pp. 674 - 689
• Main Authors: Li, Xiao-lin, Balcilar, Mehmet, Gupta, Rangan, Chang, Tsangyao
• Format: Journal Article
• Language: English
• Published: Abingdon Routledge 03.03.2016; Taylor & Francis, Ltd; Taylor & Francis Ltd
• Subjects: bootstrap; Bootstrap method; Causality; Economic policy; economic policy uncertainty; Rates of return; REGULAR ARTICLES; rolling window; stock returns; Structural adjustment; Studies; Time series; time-varying causality; China; India

This article applies a bootstrap rolling-window causality test to assess the causal relationship between economic policy uncertainty (EPU) and stock returns in China and India. Empirical literature examining causality between two time series may suffer from inaccurate results when the underlying ful...