Ali Diary Jalal, Sargon Boren, Hadi Dlawar Mahdi
Department of Accounting and Finance, Cyprus International University, Nicosia, via Mersin 10, Turkey.
Department of Accounting, Kurdistan Technical Institute, Sulaymaniyah, Iraq.
Heliyon. 2024 Apr 1;10(7):e28846. doi: 10.1016/j.heliyon.2024.e28846. eCollection 2024 Apr 15.
This study employs nonparametric causality-in-quantiles and wavelet coherence techniques to examine the impact of economic policy uncertainty and oil price variations on bank stocks in twelve prominent global economies. The results reveal that the effects of both economic policy uncertainty and oil prices on bank stock values vary significantly across countries and over time. Notably, during stress periods, we observe an inverse relationship between economic policy uncertainty and bank stocks in multiple countries, namely, Brazil, Canada, France, India, Russia, and the USA, with Japan exhibiting a particularly strong and long-term adverse correlation. Similarly, the influence of oil prices is primarily observed during crisis periods, but it demonstrates a substantial co-movement with bank stocks across the sample countries except Brazil. Our empirical analysis holds valuable implications for policymakers, bankers, investors, and portfolio managers.
本研究采用非参数分位数因果关系和小波相干技术，考察经济政策不确定性和油价波动对全球十二个主要经济体银行股的影响。结果表明，经济政策不确定性和油价对银行股价值的影响在不同国家和不同时期存在显著差异。值得注意的是，在压力时期，我们观察到多个国家（即巴西、加拿大、法国、印度、俄罗斯和美国）的经济政策不确定性与银行股之间存在反向关系，其中日本表现出特别强烈和长期的负相关。同样，油价的影响主要在危机时期观察到，但除巴西外，样本国家的银行股与油价之间存在显著的共同变动。我们的实证分析对政策制定者、银行家、投资者和投资组合经理具有重要意义。
