Economic Policy Uncertainty

Joint multifractality in the cross-correlations between grains & oilseeds indices and external uncertainties ArXiv ID: 2410.02798 “View on arXiv” Authors: Unknown Abstract This study investigates the relationships between agricultural spot markets and external uncertainties via the multifractal detrending moving-average cross-correlation analysis (MF-X-DMA). The dataset contains the Grains & Oilseeds Index (GOI) and its five sub-indices of wheat, maize, soyabeans, rice, and barley. Moreover, we use three uncertainty proxies, namely, economic policy uncertainty (EPU), geopolitical risk (GPR), and volatility Index (VIX). We observe the presence of multifractal cross-correlations between agricultural markets and uncertainties. Further, statistical tests show that maize has intrinsic joint multifractality with all the uncertainty proxies, exhibiting a high degree of sensitivity. Additionally, intrinsic multifractality among GOI-GPR, wheat-GPR and soyabeans-VIX is illustrated. However, other series have apparent multifractal cross-correlations with high possibilities. Moreover, our analysis suggests that among the three kinds of external uncertainties, geopolitical risk has a relatively stronger association with grain prices. ...

“Digitwashing”: The Gap between Words and Deeds in Digital Transformation and Stock Price Crash Risk ArXiv ID: 2403.01360 “View on arXiv” Authors: Unknown Abstract The contrast between companies’ “fleshy” promises and the “skeletal” performance in digital transformation may lead to a higher risk of stock price crash. This paper selects a sample of Shanghai and Shenzhen A-share listed companies from 2010 to 2021, empirically analyses the specific impact of the gap between words and deeds in digital transformation (GDT) on the stock price crash risk, and explores the possible causes of GDT. We found that GDT significantly increases the stock price crash risk, and this finding is still valid after a series of robustness tests. In a further study, a deeper examination of the causes of GDT reveals that firms’ perceptions of economic policy uncertainty significantly increase GDT, and the effect is more pronounced in the sample of loss-making firms. At the same time, the results of the heterogeneity test suggest that investors are more tolerant of state-owned enterprises when they are in the GDT situation. Taken together, we provide a concrete bridge between the two measures of digital transformation - digital text frequency and digital technology share - and offer new insights to enhance capital market stability. ...