Economic policy uncertainty and stock markets' comovements

Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F61989100%3A27510%2F23%3A10249098" target="_blank" >RIV/61989100:27510/23:10249098 - isvavai.cz</a>
Result on the web
<a href="https://onlinelibrary.wiley.com/doi/full/10.1002/ijfe.2603" target="_blank" >https://onlinelibrary.wiley.com/doi/full/10.1002/ijfe.2603</a>
DOI - Digital Object Identifier
<a href="http://dx.doi.org/10.1002/ijfe.2603" target="_blank" >10.1002/ijfe.2603</a>

Result language
angličtina
Original language name
Economic policy uncertainty and stock markets' comovements
Original language description
Here, we investigate the direction of the relationship between economic policy uncertainty (EPU) and stock markets. We focus on time-variant co-movements between the EPU index and selected stock market indices (S&P500, UK100, Nikkei225 and DAX30) at different investment horizons. We show that the EPU index lags stock markets at longer investment horizons during global financial turmoil, especially in the United States, Japan and Germany. The identified lag between the changes of the EPU index and selected stock market indices ranges between 2 and 6 months at investment horizons exceeding 32 months. In addition, we confirm the existence of the short-term effects of EPU on stock markets.
Czech name
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Czech description
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Type
J<sub>imp</sub> - Article in a specialist periodical, which is included in the Web of Science database
CEP classification
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OECD FORD branch
50200 - Economics and Business

Project
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Continuities
I - Institucionalni podpora na dlouhodoby koncepcni rozvoj vyzkumne organizace

Publication year
2023
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

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