題 目：Economic policy uncertainty, oil price uncertainty and stock returns: Evidence from a nonlinear model
形 式：騰訊會議 ID：500 285 754
內 容：Using a representative sample of 25 countries, we analyze the nonlinear relationship between oil price uncertainty and stock market returns by the panel smooth transition (PSTR) model. We find that oil price uncertainty has a negative and significant effect on stock returns, and this negative effect increases with economic policy uncertainty; that is, oil price fluctuations exert a stronger impact on stock returns for countries with higher economic policy uncertainty. Nevertheless, there is huge heterogeneity in responses, with oil exporting countries whose economies depend more on oil price responding strongly to oil price uncertainty, and oil importing countries driving a drop in responses. In addition, oil price uncertainty has a greater impact on the stock markets of developing countries. Also, we find that oil price uncertainty is associated with a larger decrease in stock returns during the financial crisis.
報告人簡介：馬勇，湖南大學金融與統計學院教授，博士生導師，岳麓學者，應用金融系主任。入選湖湘青年英才支持計劃和湖南省121創新人才培養工程。主要研究興趣為資產定價和風險管理，在Journal of Futures Markets, Quantitative Finance，International Review of Finance，North American Journal of Economics and Finance和管理科學學報、管理工程學報等國內外重要學術期刊發表論文20余篇。主持國家自然科學基金項目2項和教育部人文社科基金、湖南省優秀青年科學基金等省部級項目5項。