Impact of Economic Policy Uncertainty and Investor Sentiment on Stock Market Volatility in China: A Conceptual Framework
Year: 2025
Type: article
Abstract: This study develops a conceptual framework to examine the impact of economic policy uncertainty (EPU) and investor sentiment (IS) on stock market volatility (SMV) in China at both market and firm levels.A time-varying parameter vector autoregression model with stochastic volatility (TVP-VAR-SV) is employed to capture the dynamic interactions among EPU, IS, and SMV at the market level.This approach visually captures the evolving patterns of economic variable parameters over time and precisely identifies structural breakpoints through Chow's test validation, thereby providing a robust basis for sample segmentation in subsequent firm-level analysis.At the firm level, firm-level EPU exposure and firm-specific IS sensitivity are used to investigate the mediating role of IS in the EPU-SMV relationship
Institutions: National University of Malaysia, BRAC University
Language: English
Subfield: Economics and Econometrics
Domain: Social Sciences
Open Access status: diamond
OpenAlex ID: W4410752471