Effects of Economic Policy Uncertainty Shocks on the Long-Run US-UK Stock Market Correlation

Hossein Asgharian, Charlotte Christiansen, Rangan Gupta and Ai Jun Hou ()
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Ai Jun Hou: Stockholm University, Postal: Stockholm Business School, Stockholm University, SE-106 91 Stockholm, Sweden

CREATES Research Papers from Department of Economics and Business Economics, Aarhus University

Abstract: We use the economic policy uncertainty indices of Baker, Bloom, and Davis (2016) in combination with the mixed data sampling (MIDAS) approach to investigate the US and UK stock market movements. The long-run US-UK stock market correlation depends positively on US economic policy uncertainty shocks. The US long-run stock market volatility depends significantly on the US economic policy uncertainty shocks but not on UK shocks while the UK depends significantly on both.

Keywords: Economic policy uncertainty index; mixed data sampling; stock market correlation; stock market volatility (search for similar items in EconPapers)
JEL-codes: C32 G11 G15 G30 (search for similar items in EconPapers)
Pages: 10
Date: 2016-10-03
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Citations: View citations in EconPapers (2)

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