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dc.contributor.authorRehman, MU
dc.contributor.authorAsghar, N
dc.contributor.authorHussain, J
dc.date.accessioned2019-06-26T09:15:45Z
dc.date.available2019-06-26T09:15:45Z
dc.date.issued2019-05-10
dc.identifier.citationUr Rehman, M., Asghar, N. and Hussain, J. (2019) Are disaggregate industrial returns sensitive to economic policy uncertainty, Physica A: Statistical Mechanics and its Applications. 10.1016/j.physa.2019.121301en
dc.identifier.issn0378-4371en
dc.identifier.doi10.1016/j.physa.2019.121301en
dc.identifier.urihttp://hdl.handle.net/2436/622479
dc.description.abstract© 2019 Elsevier B.V. This study investigates the impact of economic policy uncertainty on disaggregate US sector based returns. Our work is motivated by the presence of non-linear relationship between US economic policy uncertainty and equity returns of sampled US sectors. The paper uses weekly data from January 1995 to December 2015 for all the return indices and economic policy uncertainty data mainly based on policy issues, provision set for the US federal tax code and disagreement among economic forecasters. Our results indicate that information technology, utilities, industrial and telecommunication sectors remain insensitive to changes in the US economic policy uncertainty. However, financial and the consumer discretionary sectors show significant long run asymmetric relationship with the EPU.en
dc.formatapplication/PDFen
dc.languageen
dc.language.isoenen
dc.publisherElsevier BVen
dc.relation.urlhttps://www.sciencedirect.com/science/article/pii/S0378437119307605?via%3Dihuben
dc.subjecteconomic policy uncertaintyen
dc.subjectNARDLen
dc.subjectsectoral returnsen
dc.titleAre disaggregate industrial returns sensitive to economic policy uncertaintyen
dc.typeJournal articleen
dc.identifier.journalPhysica A: Statistical Mechanics and its Applicationsen
dc.date.updated2019-06-18T13:56:38Z
dc.date.accepted2019-04-24
rioxxterms.funderUniversity of Wolverhamptonen
rioxxterms.identifier.projectUOW260619NAen
rioxxterms.versionAMen
rioxxterms.licenseref.urihttps://creativecommons.org/licenses/by-nc-nd/4.0/en
rioxxterms.licenseref.startdate2020-05-10en
dc.source.volume527
dc.source.beginpage121301
dc.source.endpage121301
dc.description.versionAccepted version
refterms.dateFCD2019-06-26T09:15:26Z
refterms.versionFCDAM
refterms.dateFOA2019-06-26T09:15:45Z


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