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Article summary:
1. This paper investigates the impact of economic policy uncertainty (EPU) on the conditional dependence between China and U.S. stock markets by employing the Copula-mixed-data sampling (Copula-MIDAS) framework.
2. The empirical analysis based on the Shanghai Stock Exchange Composite (SSEC) index in China and the S&P 500 index in the U.S. shows that both the global EPU (GEPU) and American EPU (AEPU) have a significantly positive impact on the conditional dependence between China and U.S. stock markets, whereas China EPU (CEPU) has no significant impact.
3. The tail dependence between China and U.S. stock markets exhibits an increasing trend, particularly in recent years.
Article analysis:
This article provides a comprehensive overview of how economic policy uncertainty affects the conditional dependence between China and US stock markets, using a Copula-MIDAS framework to analyze data from Shanghai Stock Exchange Composite (SSEC) index in China and S&P 500 index in US over a period of time from 2000 to 2020. The article is well written with clear explanations of methodology used, data sources, results obtained, and implications for investors, regulators, and risk managers.
The authors provide evidence that both global EPU (GEPU) and American EPU (AEPU) have a significantly positive impact on the conditional dependence between China and US stock markets while Chinese EPU (CEPU) has no significant effect on it; however, they do not explore any potential counterarguments or alternative explanations for their findings which could weaken their conclusions or provide additional insights into their research topic. Additionally, there is no discussion of possible risks associated with investing in stocks during times of high economic policy uncertainty which could be beneficial for investors to consider before making investment decisions based on this research study's findings.
In conclusion, this article provides an interesting insight into how economic policy uncertainty affects the conditional dependence between two major international stock markets; however, it does not explore any potential counterarguments or alternative explanations for its findings nor does it discuss any possible risks associated with investing during times of high economic policy uncertainty which could weaken its conclusions or provide additional insights into its research topic.
Topics for further research:
Alternative explanations for economic policy uncertainty
Risks associated with investing during times of high economic policy uncertainty
Counterarguments to economic policy uncertainty research findings
International stock market investment strategies
Impact of economic policy uncertainty on stock market volatility
Risk management strategies for investing in international stock markets