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%2F23%3A43921181" target="_blank" >RIV/62156489:43110/23:43921181 - isvavai.cz</a>
Result on the web
<a href="https://doi.org/10.1002/ijfe.2603" target="_blank" >https://doi.org/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’ co-movements
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-movementsbetween the EPU index and selected stock market indices (S&P500, UK100,Nikkei225 and DAX30) at different investment horizons. We show that theEPU index lags stock markets at longer investment horizons during globalfinancial turmoil, especially in the United States, Japan and Germany. Theidentified lag between the changes of the EPU index and selected stock marketindices ranges between 2 and 6 months at investment horizons exceeding32 months. In addition, we confirm the existence of the short-term effects ofEPU 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
50206 - Finance

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

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