This study investigates how commercial paper rates respond to the innovations in stock market risk premiums. The unrestricted vector autoregression (VAR) analysis of monthly data from 1997:1 to 2012:M6 shows that the changes in the one-, two-, and three-month non-financial and financial...

Using the vector autoregression (VAR) analysis, this study empirically documents the impulse response functions of financial stress and market risk premiums and performs a causality test of these two variables. The analysis of the monthly changes of the Federal Reserve Bank of St. Louis...

This paper examines if stock markets in South Asia (Bangladesh, India, Nepal, Pakistan and Sri Lanka) respond to the changes in economic policy uncertainty in the United States. Based on the analysis of monthly returns on the stock market indices in Bangladesh from 1990:1 to 2009:4, India and...

This paper investigates if the changes in economic policy uncertainty in the United States can predict the performance of stock markets in South America (Argentina, Brazil, Chile, and Colombia, Peru, and Venezuela). Based on the analyses of monthly returns of the Buenos Aires SE Merval Index...

This study examines the response of stock markets in China and Japan to the changes in economic policy uncertainty in the United States. The analysis of data of monthly changes in economic policy uncertainty in the US and monthly returns on Shanghai Composite Index from 1991:1 to 2012:5 and...

This study examines the impact of the changes in economic policy uncertainty in the United States on the stock markets of the Asian Tiger economies (Hong Kong, Singapore, South Korea, and Taiwan) because trades between Asian Tiger economies and the US have increased significantly in recent...

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...

This paper investigates the effect of economic policy uncertainty in the United States on stock market performance in Canada and Mexico. Using monthly returns of the Canada S&P/TSX-300 Total Return Index from 1985:2 to 2012:5 and Mexico SE Total Return Index from 1988:1 to 2012:5, this study...

This study examines the relationship between excess return volatility and economic policy uncertainty in U.S using monthly data for the period 1985-2011. The result reveals the existence of a long-run positive relationship between excess return volatility and economic policy uncertainty. The...

This paper provides empirical evidence from the capital market that ethical companies enjoy above-the-market-average performance. The analysis of risk premiums and risk adjusted returns of an equal-weighted portfolio of public firms ranked consecutively from 2007-2011 as the most ethical...