Does Economic Policy Uncertainty in the United States Affect Stock Market Performance in Europe?

This paper investigates the effect of economic policy uncertainty in the United States on stock market performance in the European Union, Croatia, Norway, Russia, Switzerland, Turkey and Ukraine. The analyses of monthly returns on the major stock market indices in these countries from 1985:2 to 2012:5 show that economic policy uncertainty in the US negatively forecasts stock market returns in the European Union, Croatia, Norway, Russia, Switzerland, Turkey and Ukraine. The coefficients are not statistically significant for Latvia, Lithuania, Malta, Poland, and Slovakia who are members of the European Union