Abstract
Using the daily economic policy uncertainty (EPU) index of Huang and Luk (2020), we construct an economic policy uncertainty dispersion (EPUD) index and further examine its impact on portfolio excess returns in the Chinese stock markets over the period 2000-2019. Our empirical findings reveal that the EPUD index positively predicts subsequent portfolio excess returns. This effect remains significant as we control for realized volatility, turnover ratio and a variety of macro-economic variables. Besides, we show that the impact of EPUD is stronger in small-stock portfolios.
Sign-in/Register to access full text options 
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Schedule a callDisclaimer: All third-party content on this website/platform is and will remain the property of their respective owners and is provided on "as is" basis without any warranties, express or implied. Use of third-party content does not indicate any affiliation, sponsorship with or endorsement by them. Any references to third-party content is to identify the corresponding services and shall be considered fair use under The CopyrightLaw.
