Spillover effect of Economic Policy Uncertainties on Equity Market in India : an empirical note

This paper empirically determined the impact of economic policy uncertainties on the Indian stock market. Taking advantage of a unique data set over the period 2004- 2017 (14 yrs), we made use of Mixed data sampling (MIDAS) for our empirical assessment. The result showed that an increase in policy uncertainty impacted stock returns only if the extreme volatility was persistent. During regular volatile regimes other events, either political or corporate had a more significant impact on the equity market