The Spillover Effect of Economic Policy Uncertainty: Evidence from Analyst Behaviors in Hong Kong

Zhaobo Zhu (1) , Hang Lin (2) , Min Chen (3) , Peiwen Han (2)

1 Audencia Business School
2 Shenzhen University [Shenzhen]
3 SFSU - San Francisco State University

This paper examines the spillover effect of economic policy uncertainty on the financial market by comparing how local and external policy uncertainties affect the behaviors of analysts in an international financial center. Unlike findings in the United States and the United Kingdom, high local policy uncertainty does not significantly decrease analysts' earnings forecast accuracy or exacerbate forecast dispersion in Hong Kong. In contrast, high external policy uncertainty from Mainland China, the U.S., Europe, and across the globe significantly decrease analysts' forecast accuracy in Hong Kong, although these external policy uncertainties have also no significant effect on forecast dispersion. In addition, both local and external policy uncertainties have significant impact on analyst coverage and recommendations. These results provide strong evidence on the crosscountry spillover effect of economic policy uncertainty on a developed and international financial market.

Mots clés: Economic Policy Uncertainty Spillover Effect Analysts' Earnings Forecast Accuracy Forecast Dispersion Analyst Coverage Recommendations; Economic Policy Uncertainty; Spillover Effect; Analysts' Earnings Forecast Accuracy; Forecast Dispersion; Analyst Coverage; Recommendations

Domaines: Économie et finance quantitative [q-fin]

Zhaobo Zhu, Hang Lin, Min Chen, Peiwen Han. The Spillover Effect of Economic Policy Uncertainty: Evidence from Analyst Behaviors in Hong Kong. Finance Research Letters, 2023. ⟨hal-03926514⟩