Department of Economics and Business Economics

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

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  • Hossein Asgharian, Lund University, Sweden
  • Charlotte Christiansen
  • Rangan Gupta, University of Pretoria, South Africa
  • Ai Jun Hou, Stockholm University, Sweden
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.
Original languageEnglish
Place of publicationAarhus
PublisherInstitut for Økonomi, Aarhus Universitet
Number of pages10
Publication statusPublished - 4 Oct 2016
SeriesCREATES Research Papers
Number2016-29

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