The Contagion of Chinese Economic Policy Uncertainty (EPU):Evidence from Southeast Asian Stock Markets

目录

List of Abbrevations

Chapter 1: Introduction, Motivation and Objectives

1.1 Background and Summary

1.2 Needs and the importance of the research topic

1.3 The Research Objectives

1.4 Problem Statement

1.4.1 Problem identification

1.5 Rationality of the Study

1.6 Thesis Structure

Chapter 2: Theoretical Analysis and Research Background

2.1 Introduction

2.2 Concept of Uncertainty

2.3 Origins of the distinction between Uncertainty and Risk

2.4 Why uncertainty matters: Theoretical Background

2.4.1 Uncertainty and economic activity

2.4.2 Uncertainty and financial markets

2.5 Measuring uncertainty and the index of EPU

Chapter 3: Literature Reviews and Contribution

3.1 Introduction

3.2.1 Background

3.2.2 The literature on AH-shares discrepancy

3.3 The literature on the linkages of global EPU

3.4 The literature on the linkages of Chinese EPU

3.5 The literature about predicting and forecasting EPU

3.6 Literature gap and contributions

3.7 Hypothesis Development

Chapter 4: Chinese EPU and its effects on AH-shares price discrepancy and returns

4.1 Introduction

4.2 Data Description

4.3 Methodology

4.3.1 Counterfactual Distribution of EPU

4.4 Empirical Results

4.4.1 Descriptive statistics

4.4.2 Distribution of AH premium values (Periods 0 and 1)

4.4.3 Counterfactual Distribution of EPU

4.5.1 Discussion

4.5.2 Conclusion

4.5.3 Limitations

Chapter 5: Chinese EPU and its effects on the returns and/or volatility distribution of ASEAN5 stock markets

5.1 Introduction

5.2 Data Description

5.3 Methodology

5.3.1 Kernel density function

5.4 Empirical Results

5.4.1 Descriptive Statistics

5.4.2 Conditional distribution of Chinese EPU

5.4.3 Discussions

5.5.1 Conclusion

5.5.2 Policy implications

Chapter 6: Forecasting Chinese EPU based on financial uncertainty in East Asian Economies

6.1 Introduction

6.2 Data and their relevant Sources

6.3 Methodology

6.3.1 Forecasting models

6.4 Empirical Analysis and Discussions

6.4.1 Calculation of EPU Outliers/outstanding points

6.4.2 Logistic Regression Results to predict Chinese EPU Outliers

6.4.2 Decision Tree Results to predict Chinese EPU Outliers

6.4.3 Comparison using the Classification Accuracy

6.5.1 Conclusion

6.5.2 Policy implications

Chapter 7: Summary and Conclusions

7.1 Summary of key findings and implications

7.2 Suggestions for future research

参考文献

Appendix 1: The description of variables and data source

致谢

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