Hossein Asgharian
Professor
Effects of Economic Policy Uncertainty Shocks on the Long-Run US-UK Stock Market Correlation
Author
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
Links
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