The browser you are using is not supported by this website. All versions of Internet Explorer are no longer supported, either by us or Microsoft (read more here: https://www.microsoft.com/en-us/microsoft-365/windows/end-of-ie-support).

Please use a modern browser to fully experience our website, such as the newest versions of Edge, Chrome, Firefox or Safari etc.

Hossein Asgharian. Photo.

Hossein Asgharian

Professor

Hossein Asgharian. Photo.

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

Author

  • Hossein Asgharian
  • Charlotte Christiansen
  • Ai Jun Hou

Summary, in English

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.

Department/s

  • Department of Economics

Publishing year

2016

Language

English

Publication/Series

CREATES Research Papers

Volume

2016

Issue

29

Document type

Working paper

Publisher

Department of Economics and Business Economics, Aarhus University

Topic

  • Economics and Business

Keywords

  • economic policy uncertainty index
  • mixed data sampling
  • stock market correlation
  • stock market volatility

Status

Published

Research group

  • Knut Wicksell Centre for Financial Studies