Effects of Economic Policy Uncertainty Shocks on the Long-Run US-UK Stock Market Correlation

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  • rp16_29

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  • Hossein Asgharian, Lund University, Sverige
  • Charlotte Christiansen
  • Rangan Gupta, University of Pretoria, Sydafrika
  • Ai Jun Hou, Stockholm University, Sverige
We use the economic policy uncertainty indices of Baker, Bloom, and Davis (2016) in combination with the mixed data sampling (MIDAS) approach to investigate the US and UK stock market movements. The long-run US-UK stock market correlation depends positively on US economic policy uncertainty shocks. The US long-run stock market volatility depends significantly on the US economic policy uncertainty shocks but not on UK shocks while the UK depends significantly on both.
OriginalsprogEngelsk
UdgivelsesstedAarhus
UdgiverInstitut for Økonomi, Aarhus Universitet
Antal sider10
StatusUdgivet - 4 okt. 2016
SerietitelCREATES Research Papers
Nummer2016-29

    Forskningsområder

  • Economic policy uncertainty index, mixed data sampling, stock market correlation, stock market volatility

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