Hossein Asgharian
Professor
Effects of Economic Policy Uncertainty Shocks on the Long-Run US-UK Stock Market Correlation
Författare
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.
Avdelning/ar
- Nationalekonomiska institutionen
Publiceringsår
2016
Språk
Engelska
Publikation/Tidskrift/Serie
CREATES Research Papers
Volym
2016
Issue
29
Länkar
Dokumenttyp
Working paper
Förlag
Department of Economics and Business Economics, Aarhus University
Ämne
- Economics and Business
Nyckelord
- economic policy uncertainty index
- mixed data sampling
- stock market correlation
- stock market volatility
Status
Published
Forskningsgrupp
- Knut Wicksell Centre for Financial Studies