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Tail risk spillovers between economic policy uncertainty and stock market returns: Evidence based on TENET approach

Finance Research Letters, ISSN: 1544-6123, Vol: 69, Page: 106204
2024
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Article Description

We construct a tail-event-driven network (TENET) to explore the tail risk spillovers between economic policy uncertainty (EPU) and stock market returns (SMR) at three levels: system, region and country. The empirical results show that (i) when major emergencies occur, the tail risk spillovers increase rapidly; (ii) the spillover effects from EPU to SMR are greater than those from SMR to EPU, indicating that EPU exerts a stronger influence; and (iii) both the EPU and SMR of America act as net risk senders, with the EPU of the United States playing a dominant role in the tail risk spillover network.

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