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

Mohamed Arouri (), Christophe Estay (), Christophe Rault () and David Roubaud ()
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Christophe Estay: Kedge Business School [Talence]

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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\textendash2014. 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: Markov-switching; Policy uncertainty; US stock markets (search for similar items in EconPapers)
Date: 2016
Note: View the original document on HAL open archive server: https://hal.archives-ouvertes.fr/hal-02009137
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Published in Finance Research Letters, Elsevier, 2016, 18, pp.136--141. ⟨10.1016/j.frl.2016.04.011⟩

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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:hal-02009137

DOI: 10.1016/j.frl.2016.04.011

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