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Economic policy uncertainty and stock price synchronicity: Evidence from China

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  • Shen, Huayu
  • Liu, Runxin
  • Xiong, Hao
  • Hou, Fei
  • Tang, Xiaoyi

Abstract

This paper investigates whether and how economic policy uncertainty (EPU) affects stock price synchronicity (SPS) based on the sample of listed firms from year 2007 to 2017 in China. We find that EPU significantly negatively affect SPS. Moreover, managerial ownership, bearish stock market and financial crises attenuate the negative influence of EPU on SPS. Institutional investors, high-quality auditors and analysts tracking reinforce the negative influence of EPU on SPS. Robustness tests also support the above results.

Suggested Citation

  • Shen, Huayu & Liu, Runxin & Xiong, Hao & Hou, Fei & Tang, Xiaoyi, 2021. "Economic policy uncertainty and stock price synchronicity: Evidence from China," Pacific-Basin Finance Journal, Elsevier, vol. 65(C).
    • Handle: RePEc:eee:pacfin:v:65:y:2021:i:c:s0927538x20306971
    DOI: 10.1016/j.pacfin.2020.101485
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    9. Hasan, Md. Bokhtiar & Hassan, M. Kabir & Alhomaidi, Asem, 2023. "How do sectoral Islamic equity markets react to geopolitical risk, economic policy uncertainty, and oil price shocks?," The Journal of Economic Asymmetries, Elsevier, vol. 28(C).
    10. Su, Kun & Zhang, Miaomiao & Liu, Chengyun, 2022. "Financial derivatives, analyst forecasts, and stock price synchronicity: Evidence from an emerging market," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 81(C).
    11. Shen, Huayu & Liang, Yue & Li, Hanwen & Liu, Jie & Lu, Guangxi, 2021. "Does geopolitical risk promote mergers and acquisitions of listed companies in energy and electric power industries," Energy Economics, Elsevier, vol. 95(C).
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