经济政策的不确定性与印度股票部门:量化回归方法

IF 1.3 Q3 ECONOMICS
Simran  , Anil K. Sharma
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引用次数: 0

摘要

目的 本文旨在研究经济政策不确定性(EPU)冲击对印度股票市场板块的影响。研究采用 2005 年 9 月至 2023 年 7 月期间的数据,并使用量化回归的方法,通过对条件量化分布的分析,研究不同市场条件下股市板块的异质性反应。研究结果表明,在熊市条件下,国内和国外的经济政策不确定性冲击对大多数板块产生负面影响。工业、商品、公用事业、自由消费品和金融服务是受国内 EPU 影响最大的行业。不过,信息技术行业不受国内 EPU 冲击的影响,但受到国外 EPU 冲击的负面影响。实际意义了解不同行业对 EPU 冲击的不同反应有助于投资者和投资组合经理识别投资组合多样化的机会。独创性/价值本研究首次尝试使用量化回归方法研究印度股票市场各行业对国内外 EPU 冲击的反应,揭示了印度股票市场各行业对来自印度和美国的 EPU 冲击的不同反应。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
Economic policy uncertainty and Indian equity sectors: a quantile regression approach

Purpose

This paper aims to investigate the effect of economic policy uncertainty (EPU) shocks on Indian equity market sectors. The effect of domestic (Indian) and foreign (USA) EPU shocks is examined on ten major Bombay Stock Exchange sectors.

Design/methodology/approach

The study uses data covering the period from September 2005 to July 2023 and uses the methodology of quantile regression to investigate the heterogenous response of stock market sectors under diverse market conditions explained through the analysis of conditional quantiles distribution.

Findings

The results demonstrate that domestic and foreign EPU shocks negatively affect most of the sectors in bearish market conditions. Industrials, commodities, utilities, consumer discretionary and financial services are the most affected sectors by domestic EPU. However, the information technology sector is found to be immune to domestic EPU shocks but negatively affected by foreign EPU shocks. On the other hand, energy, financial services and fast-moving consumer goods sectors are found to be immune to foreign EPU shocks but are negatively affected by domestic EPU shocks.

Practical implications

Understanding the heterogeneous response of different sectors to EPU shocks could help investors and portfolio managers identify portfolio diversification opportunities.

Originality/value

This study makes an inaugural attempt to examine the responses of Indian stock market sectors to domestic and foreign EPU shocks using the approach of quantile regression and unveils the previously unexamined diverse reactions of Indian stock market sectors to EPU shocks originating from both India and USA.

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来源期刊
CiteScore
2.80
自引率
8.30%
发文量
13
期刊介绍: The Journal of Financial Economic Policy publishes high quality peer reviewed research on financial economic policy issues. The journal is devoted to the advancement of the understanding of the entire spectrum of financial policy and control issues and their interactions to economic phenomena. Economic and financial phenomena involve complex trade-offs and linkages between various types of risk factors and variables of interest to policy makers and market participants alike. Market participants such as economic policy makers, regulators, banking and competition supervisors, corporations and financial institutions, require timely and robust answers to the contemporary and emerging policy questions. In turn, such answers require thorough input by the academics, policy makers and practitioners alike. The Journal of Financial Economic Policy provides the forum to satisfy this need. The journal publishes and invites concise papers to enable a prompt response to current and emerging policy affairs.
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