Economic policy uncertainty and stock markets: Long-run evidence from the US

Mohamed Arouri, Christophe Estay, Christophe Rault and David Roubaud ()

Finance Research Letters, 2016, vol. 18, issue C, 136-141

Abstract: We contribute to the literature by studying the impact of economic policy uncertainty on stock markets in the United States over the period 1900–2014. We show that an increase in policy uncertainty reduces significantly stock returns and that this effect is stronger and persistent during extreme volatility periods.

Keywords: Policy uncertainty; US stock markets; Markov-switching (search for similar items in EconPapers)
JEL-codes: E32 E37 E44 E52 E62 (search for similar items in EconPapers)
Date: 2016
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (190)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S1544612316300435
Full text for ScienceDirect subscribers only

Related works:
Working Paper: Economic policy uncertainty and stock markets: Long-run evidence from the US (2016)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:18:y:2016:i:c:p:136-141

DOI: 10.1016/j.frl.2016.04.011

Access Statistics for this article

Finance Research Letters is currently edited by R. Gençay

More articles in Finance Research Letters from Elsevier
Bibliographic data for series maintained by Catherine Liu ().