Investigation of the effect of global EPU spillovers on country-level stock market idiosyncratic volatility
本文利用多元分位数模型衡量各国经济政策不确定性溢出，发现全球溢出显著增加23个经济体的股市特质波动，且发达市场溢出效应大于新兴市场。
Using the multivariate quantile model, this paper develops a global economic policy uncertainty (EPU) spillover measure for each country and investigates the spillover effects on the country-level stock market idiosyncratic volatility across a sample of 23 economies. The regression results show that global EPU spillovers have a positive and significant effect on the country-level stock market idiosyncratic volatility. We find that the effect of developed-market-generated EPU spillovers on the country-level stock market idiosyncratic risk is noticeably larger compared to the effect of emerging-market-generated EPU spillovers. Furthermore, the significant and positive effect of the EPU spillovers on the country-level stock market idiosyncratic volatility continues when we utilize various economic, financial, and political risk factors as controls, as well as when we use alternative measures of stock market idiosyncratic volatility as the dependent variable in our regression analyses.