Impact of economic policy uncertainty on Indian stock market returns: evidence from large-cap, mid-cap and small-cap stocks Online publication date: Fri, 14-Jun-2024
by Muhammadriyaj Faniband; Pravin Jadhav
International Journal of Financial Markets and Derivatives (IJFMD), Vol. 9, No. 4, 2023
Abstract: This study examines the impact of economic policy uncertainty (EPU) in the top 10 economies on the large-cap, mid-cap and small-cap (LMS) stock returns in India using a monthly dataset from January 2004 to May 2021. Our outcomes based on the quantile regression approach unveil interesting findings. First, Canada, France, Japan, the UK and the USA do not affect large, mid and small-cap stock returns. Second, Germany, India and Korea are the only countries that have a substantial and negative impact on LMS stock returns. Third, large and mid-cap stock returns are influenced positively only by Chinese EPU. The impact of the top 10 countries EPU is not homogeneous across LMS stock returns in India, implying that uncertainty regarding economic policy in these economies does not uniformly influence Indian LMS stock. The results derived from our study would be of substantial utility for investors, portfolio managers and policymakers.
Existing subscribers:
Go to Inderscience Online Journals to access the Full Text of this article.
If you are not a subscriber and you just want to read the full contents of this article, buy online access here.Complimentary Subscribers, Editors or Members of the Editorial Board of the International Journal of Financial Markets and Derivatives (IJFMD):
Login with your Inderscience username and password:
Want to subscribe?
A subscription gives you complete access to all articles in the current issue, as well as to all articles in the previous three years (where applicable). See our Orders page to subscribe.
If you still need assistance, please email subs@inderscience.com
Our Blog 
Follow us on Twitter 
Visit us on Facebook