This paper examines the sensitivity of major US sectoral returns to economic policy uncertainty and investor sentiments. Our analysis is based on weekly frequency and ranges from January 1995 to December 2015 covering a span of 20 years. Considering existing, however limited evidence of non-linear structure exhibited by investor sentiments and economic policy uncertainty and on the basis of our non-linear diagnostics, we use novel technique of non-parametric causality in quantiles approach proposed by . Our results highlight that economic policy uncertainty and investor sentiments act as driving factors for US sectoral returns. The nature of relationship is reported as asymmetrical for stock returns and symmetrical for variance of returns with an exception of Healthcare sector for economic policy uncertainty and bullish market sentiments. Our study carries implications for portfolio diversification and policy makers for forecasting market efficiency and economic trends.

中文翻译：

---

美国股市回归对经济政策不确定性和投资者情绪的敏感性


本文研究了美国主要部门回报对经济政策不确定性和投资者情绪的敏感性。我们的分析基于每周的频率，范围从 1995 年 1 月到 2015 年 12 月，跨度为 20 年。考虑到投资者情绪和经济政策不确定性所表现出的非线性结构的现有证据有限，并且在我们的非线性诊断的基础上，我们在分位数方法中使用了非参数因果关系的新技术。我们的结果强调，经济政策的不确定性和投资者情绪是美国行业回报的驱动因素。据报道，这种关系的性质是股票回报不对称，回报方差对称，但医疗保健行业除外，因为经济政策不确定性和看涨的市场情绪。我们的研究对投资组合多元化以及政策制定者预测市场效率和经济趋势具有重要意义。