Economic Policy Uncertainty and Stock Market Returns in Pacific-Rim Countries: Evidence based on a Bayesian Panel VAR Model

Christina Christou (), Juncal Cuñado (), Rangan Gupta and Christis Hassapis ()
Additional contact information
Christina Christou: School of Economics and Management, Open University of Cyprus
Christis Hassapis: Department of Economics, University of Cyprus

No 201661, Working Papers from University of Pretoria, Department of Economics

Abstract: This paper examines the role of Economic Policy Uncertainty (EPU) on the stock market returns in a sample of 6 countries which includes Australia, Canada, China, Japan, Korea and the US using monthly data from January 1998 to December 2014. For our purpose, we use a restricted Panel Vector Autoregressive (PVAR) model estimated using the Stochastic Search Specification Selection (SSSS) prior (PVAR-SSSS). In order to account for international uncertainty spillovers, the impact of the own country’s EPU shocks and the US EPU shocks are considered. The main results suggest that stock market returns have not been significantly affected by the increased policy uncertainty levels observed during the last decade, except in the cases of Canada and the US. When uncertainty spillovers are considered, only Japanese and Korean stock market returns are influenced by US EPU shocks.

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)
Pages: 21 pages
Date: 2016-08
References: Add references at CitEc
Citations:

There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.

Related works:
Journal Article: Economic policy uncertainty and stock market returns in PacificRim countries: Evidence based on a Bayesian panel VAR model (2017)
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:pre:wpaper:201661

Access Statistics for this paper

More papers in Working Papers from University of Pretoria, Department of Economics Contact information at EDIRC.
Bibliographic data for series maintained by Rangan Gupta ().