Canh Phuc Nguyen

School of Public Finance, College of Economics, Law, and Government, University of Economics Ho Chi Minh City, 

Vietnam;

Health and Agricultural Policy Research Institute, College of Economics, Law, and Government, University of Economics Ho Chi Minh City,

Vietnam

canhnguyen@ueh.edu.vn

ORCID 0000-0001-8467-5010

Economic policy uncertainty and firm-level stock returns: Further evidence from China

Christophe Schinckus

Faculty of Business and Computing, The University of the Fraser Valley,

Canada;

International School of Management,

France

Chris.Schinckus@ufv.ca

ORCID 0000-0002-0977-7428

Binh Quang Nguyen

School of Public Finance, College of Economics, Law, and Government, University of Economics Ho Chi Minh City,

Vietnam

binhnq@ueh.edu.vn

ORCID 0000-0002-9059-5866

Thanh Trung Lai

University of Economics Ho Chi Minh City,

Vietnam

at.trungthanh1410@gmail.com

Nhi Ai Nguyen

University of Economics Ho Chi Minh City, 

Vietnam

ainhi09.nguyen@gmail.com

Abstract. This study investigates the effects of Global economic policy uncertainty (EPU) and Chinese EPU on yearly firm-level stock returns of 823 Chinese firms. The data is collected from www.policyuncertainty.com and the Thomson Reuters Eikon database. The findings indicate that increases in Chinese EPU have a negative effect on firm-level stock returns, while Global EPU has a positive impact. Interestingly, the negative effect is more pronounced in high-debt capitalized and high-profit firms and less evident in firms with high market-to-book ratios and significant assets. Moreover, while the impact of Global/Chinese EPU on firm-level stock returns exhibited variability during the period 2002–2007, it was found to be strongly significant in the period 2008–2022. Finally, the effect of Global/Chinese EPU on Chinese firm-level stock returns is more significant and consistent in the Shanghai market than in the Shenzhen market, suggesting a difference in diversification capability between these two markets.

Received: October, 2023

1st Revision: March, 2024

Accepted: March, 2025

DOI: 10.14254/2071-8330.2025/18-1/13

JEL Classification: G17, G21, G41, E44

Keywords: stock returns, economic policy uncertainty, risk, emerging markets, China