Migration policy uncertainty and stock market investor sentiment

B. M. Ordu-Akkaya
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引用次数: 2

Abstract

Purpose The purpose of this paper is to examine the volatility transmission between migration policy uncertainty indices (MI) of France, Germany, UK and the USA, and respective stock markets of these countries. Therefore, the author’s major intention is to understand whether MI is a critical factor affecting company valuations and investor sentiment. Design/methodology/approach The author proxies volatility via EGARCH (1,1) for all series and employs Diebold–Yilmaz (2012) methodology to test the spillover, which is a simple yet very intuitive procedure. This method allows one to analyze the numerical amount of spillover, as well as the direction. Findings Findings propose that volatility transmission is from migration index to stock markets for the UK and US markets, but similar findings are not applicable for France and Germany. However, when cross-market transmissions are analyzed, it is observed that migration policy uncertainty of US spills significant volatility to all European stock markets. Hence, the findings underline the central role of US markets. Originality/value Given the increasing worries about migration across the USA and Europe, the author tries to cast light on whether investor sentiment alters by migration policies. The literature is recently building and best of the author’s knowledge; the paper is the first to investigate the cross-country spillover between MIs, which has not been performed before.
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移民政策的不确定性和股市投资者情绪
本文的目的是研究法国、德国、英国和美国的移民政策不确定性指数(MI)与这些国家的股票市场之间的波动传导。因此,作者的主要意图是了解MI是否是影响公司估值和投资者情绪的关键因素。设计/方法/方法作者通过EGARCH(1,1)对所有系列的波动率进行代理,并采用Diebold-Yilmaz(2012)方法来测试溢出效应,这是一个简单但非常直观的过程。这种方法允许人们分析溢出的数值量,以及方向。研究结果表明,对于英国和美国市场,波动率的传导是从移民指数到股票市场,但类似的发现并不适用于法国和德国。然而,当分析跨市场传导时,可以观察到美国移民政策的不确定性会对所有欧洲股市产生重大波动。因此,调查结果突显了美国市场的核心作用。原创性/价值鉴于美国和欧洲对移民的担忧日益增加,作者试图阐明投资者情绪是否会因移民政策而改变。文献是最近建立和最好的作者的知识;本文首次研究了MIs之间的跨国溢出效应,这在以前是没有的。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
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