Research Article
Regression Analysis on the Impact of Economic Policy Uncertainty on Stock Index Returns
@INPROCEEDINGS{10.4108/eai.18-11-2022.2326897, author={Jialong Chen and Nan Jiang and Lan Wang}, title={Regression Analysis on the Impact of Economic Policy Uncertainty on Stock Index Returns}, proceedings={Proceedings of the 4th International Conference on Economic Management and Model Engineering, ICEMME 2022, November 18-20, 2022, Nanjing, China}, publisher={EAI}, proceedings_a={ICEMME}, year={2023}, month={2}, keywords={economic policy uncertainty index; return rate on the stock index; least-squares regression}, doi={10.4108/eai.18-11-2022.2326897} }- Jialong Chen
Nan Jiang
Lan Wang
Year: 2023
Regression Analysis on the Impact of Economic Policy Uncertainty on Stock Index Returns
ICEMME
EAI
DOI: 10.4108/eai.18-11-2022.2326897
Abstract
The research study sought to investigate the effect of the China Economic Policy Uncertainty Index (CNEPU) effect on the Chinese stock index return rate. It uses monthly time series data for twenty years between January 2000 and December 2019. Some interesting results can be obtained from the coefficient in the linear equation by using the least-squares regression to establish a linear economic model. The main findings of the research study are as follows: a specific inverse relationship existed between the China Economic Policy Uncertainty Index and the return rate on the Chinese stock market stock index. This result showed evidence that China's Economic Policy Uncertainty negatively affects the return rate on the stock index.