Economic Policy Uncertainty and Stock Markets Co-movements

Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F62156489%3A43110%2F21%3A43920201" target="_blank" >RIV/62156489:43110/21:43920201 - isvavai.cz</a>
Result on the web
<a href="https://mme2021.v2.czu.cz/en/r-16791-news-mme-2021/proceedings-of-the-39-th-international-conference-on-mme-202.html" target="_blank" >https://mme2021.v2.czu.cz/en/r-16791-news-mme-2021/proceedings-of-the-39-th-international-conference-on-mme-202.html</a>
DOI - Digital Object Identifier
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Result language
angličtina
Original language name
Economic Policy Uncertainty and Stock Markets Co-movements
Original language description
We empirically examine co-movements between the Economic Policy Uncertainty (EPU) index and selected stock market indices (S&P500, UK100, Nikkei225, and DAX30) at different investment horizons. We show significant but timevariant co-movements between EPU and stock markets employing wavelet analysis. Moreover, we identify EPU as a leading indicator of stock market drops, especially in the US, Japan, and Germany by using the time-varying domain based on the wavelet coherence. The lag between the changes of EPU and selected stock markets is from 4 months up to 32 months for longer investment horizons. We identify the co-movements between the EPU and stock markets also in times of decreased uncertainty but only to a small extent.
Czech name
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Czech description
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Publication year
2021
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Article name in the collection
Mathematical Methods in Economics 2021: Conference Proceedings
ISBN
978-80-213-3126-6
ISSN
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e-ISSN
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Number of pages
6
Pages from-to
12-17
Publisher name
Česká zemědělská univerzita v Praze
Place of publication
Praha
Event location
Praha
Event date
Sep 8, 2021
Type of event by nationality
WRD - Celosvětová akce
UT code for WoS article
000936369700002

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