EconPapers    
Economics at your fingertips  
 

Economic policy uncertainty and stock market returns in PacificRim countries: Evidence based on a Bayesian panel VAR model

Christina Christou, Juncal Cunado, Rangan Gupta and Christis Hassapis

Journal of Multinational Financial Management, 2017, vol. 40, issue C, 92-102

Abstract: This paper examines the role of economic policy uncertainty (EPU) on stock market returns for six countries (Australia, Canada, China, Japan, Korea and the US), based on a panel VAR model estimated using stochastic search specification selection (SSSS). In order to account for international uncertainty spillovers, the impact of home country EPU shocks and US EPU shocks are considered over the period from January 1998 to December 2014. The main results suggest that stock market returns have been negatively affected by the increased policy uncertainty levels observed during the last decade. Furthermore, when uncertainty spillovers are considered, a significant negative relationship is found between stock market returns and US EPU shocks in all countries except in Australia. This could be explained by favorable opportunities that investors gain by investing in this country, after an increase in policy uncertainty levels in the US economy.

Keywords: Economic policy uncertainty; Stock returns; Panel vector autoregressive model; Pacific-rim countries (search for similar items in EconPapers)
JEL-codes: C32 G10 (search for similar items in EconPapers)
Date: 2017
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (83)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S1042444X16300354
Full text for ScienceDirect subscribers only

Related works:
Working Paper: Economic Policy Uncertainty and Stock Market Returns in Pacific-Rim Countries: Evidence based on a Bayesian Panel VAR Model (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:mulfin:v:40:y:2017:i:c:p:92-102

DOI: 10.1016/j.mulfin.2017.03.001

Access Statistics for this article

Journal of Multinational Financial Management is currently edited by I. Mathur and G. G. Booth

More articles in Journal of Multinational Financial Management from Elsevier
Bibliographic data for series maintained by Catherine Liu ().

 
Page updated 2025-03-23
Handle: RePEc:eee:mulfin:v:40:y:2017:i:c:p:92-102