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International economic policy uncertainty and stock prices revisited: Multiple and Partial wavelet approach

Debojyoti Das () and Surya Bhushan Kumar

Economics Letters, 2018, vol. 164, issue C, 100-108

Abstract: This paper introduces a new dimension to the relationship between Economic Policy Uncertainty (EPU) and Stock Prices (SP) by extending the contributions of Ko and Lee (2015) by using multiple and partial wavelet coherence techniques. The vulnerability of SP due to combined and isolated impact of international (US EPU) and Domestic Policy Uncertainty (DEPU) is investigated. The main findings are; (a) the combined effect of DEPU and US EPU is more significant for developed market’s SP, (b) the emerging market’s SP are more sensitive to DEPU and (c) Amongst developed markets, Japan and European countries are more sensitive to US EPU than DEPU.

Date: 2018
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DOI: 10.1016/j.econlet.2018.01.013

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