Advanced

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

Asgharian, Hossein LU ; Christiansen, Charlotte and Hou, Ai Jun (2016) In CREATES Research Papers 2016(29).
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.
Please use this url to cite or link to this publication:
author
organization
publishing date
type
Working Paper
publication status
published
subject
keywords
economic policy uncertainty index, mixed data sampling, stock market correlation, stock market volatility
in
CREATES Research Papers
volume
2016
issue
29
pages
13 pages
publisher
Department of Economics and Business Economics, Aarhus University
language
English
LU publication?
yes
id
2149ffca-fcca-4f32-ba62-52844fe8a9e1
alternative location
http://econ.au.dk/fileadmin/site_files/filer_oekonomi/Working_Papers/CREATES/2016/rp16_29.pdf
date added to LUP
2016-12-06 16:37:36
date last changed
2017-02-06 08:19:32
@misc{2149ffca-fcca-4f32-ba62-52844fe8a9e1,
  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.},
  author       = {Asgharian, Hossein and Christiansen, Charlotte and Hou, Ai Jun},
  keyword      = {economic policy uncertainty index,mixed data sampling,stock market correlation,stock market volatility},
  language     = {eng},
  note         = {Working Paper},
  number       = {29},
  pages        = {13},
  publisher    = {Department of Economics and Business Economics, Aarhus University},
  series       = {CREATES Research Papers},
  title        = {Effects of Economic Policy Uncertainty Shocks on the Long-Run US-UK Stock Market Correlation},
  volume       = {2016},
  year         = {2016},
}