Investigation of the Relationship Between Economic Policy Uncertainty Index and Stock Exchange Indices: The Case of OECD Countries

Süreyya Yılmaz Özekenci
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Süreyya Yılmaz Özekenci: Çağ University

Journal of Finance Letters (Maliye ve Finans Yazıları), 2024, vol. 39, issue 121, 217-234

Abstract: The aim of the study is to investigate the causality relationship between the Economic Policy Uncertainty Index and the stock indices of OECD countries using monthly data from February 2008 to September 2022 through the Dumitrescu and Hurlin (2012) panel causality test. According to the Dumitrescu and Hurlin (2012) test's findings, while Australia, Canada, Colombia, Sweden, Italy, Japan, and Chile were found to be eligible for causality between the stock market index and the economic policy uncertainty index, Australia, Chile, France, Germany, Greece, Ireland, Japan, and Spain were found to be eligible for causality between the economic policy uncertainty index and the stock market index. Furthermore, it was found that this relationship was bidirectional for Australia, Chile, and Japan.

Keywords: Economic policy uncertainty index; stock market indices; panel causality test (search for similar items in EconPapers)
JEL-codes: C23 D80 G00 (search for similar items in EconPapers)
Date: 2024
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Persistent link: https://EconPapers.repec.org/RePEc:acc:malfin:v:39:y:2024:i:121:p:217-234

DOI: 10.33203/mfy.1386682

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