International economic policy uncertainty and stock prices: Wavelet approach

Jun-Hyung Ko and Chang-Min Lee

Economics Letters, 2015, vol. 134, issue C, 118-122

Abstract: This paper examines the link between economic policy uncertainty and stock price in both a time and frequency domain. Wavelet analysis reveals that the relationship is generally negative but changes over time exhibiting low to high frequency cycles. Moreover, the timing of frequency changes overlaps when US policy uncertainty comoves with other countries’ policy uncertainty.

Keywords: Policy uncertainty; Stock price; International spillover; Wavelet analysis (search for similar items in EconPapers)
JEL-codes: C32 F21 F32 (search for similar items in EconPapers)
Date: 2015
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Citations: View citations in EconPapers (155)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:134:y:2015:i:c:p:118-122

DOI: 10.1016/j.econlet.2015.07.012

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