Research On The Impact Of Global Economic Policy Uncertainty On International Stock Markets Risk

Under the economic globalization,countries are increasingly interconnected and interdependent.Simultaneously,global economic policy uncertainty is further highlighted,which is supposed to be a significant factor affecting the stability of the stock market.From a global perspective,new economic policies are introduced almost every day.Continual economic policy adjustments have made global economic policies uncertainty reach an unprecedented height,especially during the COVID-19 epidemic,the uncertainty of global economic policies reached the highest value.The purpose of economic policy implementation is to make the economy run smoothly and the stock markets develop healthily.However,the time,content,implementation method,and implementation effect of the economic policy are highly uncertain,which often causes a negative effect on the stock markets and increases the risk of the stock markets.Under this background,it is significant to study the effect of global economic policy uncertainty on international stock markets risk systematically and in-depth for preventing the systemic risk of international stock markets and maximizing the regulatory effect of the policy.Firstly,this article analyzes from a theoretical perspective,and proposes corresponding research hypothesis.Secondly,we measure global economic policy uncertainty and international stock market risk index,with regard to the measure of global economic policy uncertainty,and use the global economic policy uncertainty index constructed by Baker et al;with regard to the measure of international stock markets risk,we use the spillover index method,which selects the stock markets index of 21 countries with strong representativeness for index construction.On this basis,this article conducts a correlation analysis,Copula function is used to verify the internal correlation between global economic policy uncertainty and international stock markets risk.Time-varying parametric vector autoregressive(TVPVAR)model is chosen to research the size,intensity,and direction of the effect of global economic policy uncertainty on international stock markets risk.Finally,from the perspective of the development level and risk resilience of different economies,as well as international capital flows,a group study is divided to investigate the effect of global economic policy uncertainty respectively on the stock markets risk of developed and emerging economies.By analyzing the results,this paper come to conclusions: Firstly,global economic policy uncertainty is positively correlated with international stock markets risk significantly.and this positive correlation has time variability.When extreme events and public health emergencies occur,the correlation coefficient between the two increases significantly.Secondly,Global economic policy uncertainty will have impacts on international stock markets risk,most of which are positive.Increasing global economic policy uncertainty,which will make international stock markets risk rise.When the external economic environment is unstable,it is more significant of the transmission effect which transmits the impact of global economic policy uncertainty to international stock markets risk.Thirdly,the consequences of different lag effects show that the long-term effect of global economic policy uncertainty on international stock market risk are consistent with the short-term and medium-term effect in changing trends,but only slightly weaker than the short-term and medium-term effect,that is,the effect of global economic policy uncertainty on international stock market risk has sustainability.Fourthly,from the middle of 2016 to the end of 2017,the global economic environment is relatively flourishing,and international stock markets risk is slightly affected by global economic policy uncertainty in the short-term.Fifthly,the research by grouping is that the positive effect of global economic policy uncertainty on the stock markets risk of emerging economies is greater than that of developed economies.In light of the mentioned conclusions,this paper offers advice that the government should maintain the openness and transparency of policies.When judging and evaluating the investment risks of the stock markets,investors need to go beyond the regional perspective,pay attention to the global economic development environment and policy adjustments.The regulatory authorities need to seriously deal with the possible negative effect of the global economic policy uncertainty on the stock markets,especially for emerging economies,and pay more attention to the adjustment and change of economic policies of the world,especially in developed countries,and guard against the international stock markets risks.