Department of Economics and Business Economics

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

Research output: Working paperResearch

Standard

Effects of Economic Policy Uncertainty Shocks on the Long-Run US-UK Stock Market Correlation. / Asgharian, Hossein; Christiansen, Charlotte; Gupta, Rangan; Hou, Ai Jun.

Aarhus : Institut for Økonomi, Aarhus Universitet, 2016.

Research output: Working paperResearch

Harvard

Asgharian, H, Christiansen, C, Gupta, R & Hou, AJ 2016 'Effects of Economic Policy Uncertainty Shocks on the Long-Run US-UK Stock Market Correlation' Institut for Økonomi, Aarhus Universitet, Aarhus.

APA

Asgharian, H., Christiansen, C., Gupta, R., & Hou, A. J. (2016). Effects of Economic Policy Uncertainty Shocks on the Long-Run US-UK Stock Market Correlation. Institut for Økonomi, Aarhus Universitet. CREATES Research Papers No. 2016-29

CBE

Asgharian H, Christiansen C, Gupta R, Hou AJ. 2016. Effects of Economic Policy Uncertainty Shocks on the Long-Run US-UK Stock Market Correlation. Aarhus: Institut for Økonomi, Aarhus Universitet.

MLA

Asgharian, Hossein et al. Effects of Economic Policy Uncertainty Shocks on the Long-Run US-UK Stock Market Correlation. Aarhus: Institut for Økonomi, Aarhus Universitet. (CREATES Research Papers; Journal number 2016-29). 2016., 10 p.

Vancouver

Asgharian H, Christiansen C, Gupta R, Hou AJ. Effects of Economic Policy Uncertainty Shocks on the Long-Run US-UK Stock Market Correlation. Aarhus: Institut for Økonomi, Aarhus Universitet. 2016 Oct 4.

Author

Asgharian, Hossein ; Christiansen, Charlotte ; Gupta, Rangan ; Hou, Ai Jun. / Effects of Economic Policy Uncertainty Shocks on the Long-Run US-UK Stock Market Correlation. Aarhus : Institut for Økonomi, Aarhus Universitet, 2016. (CREATES Research Papers; No. 2016-29).

Bibtex

@techreport{cb125918dabe4f9abe2ae31e153cec86,
title = "Effects of Economic Policy Uncertainty Shocks on the Long-Run US-UK Stock Market Correlation",
abstract = "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.",
keywords = "Economic policy uncertainty index, mixed data sampling, stock market correlation, stock market volatility",
author = "Hossein Asgharian and Charlotte Christiansen and Rangan Gupta and Hou, {Ai Jun}",
year = "2016",
month = oct,
day = "4",
language = "English",
series = "CREATES Research Papers",
publisher = "Institut for {\O}konomi, Aarhus Universitet",
number = "2016-29",
type = "WorkingPaper",
institution = "Institut for {\O}konomi, Aarhus Universitet",

}

RIS

TY - UNPB

T1 - Effects of Economic Policy Uncertainty Shocks on the Long-Run US-UK Stock Market Correlation

AU - Asgharian, Hossein

AU - Christiansen, Charlotte

AU - Gupta, Rangan

AU - Hou, Ai Jun

PY - 2016/10/4

Y1 - 2016/10/4

N2 - 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.

AB - 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.

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

M3 - Working paper

T3 - CREATES Research Papers

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

PB - Institut for Økonomi, Aarhus Universitet

CY - Aarhus

ER -