This article documents that political factors can be linked to that part of stock prices which cannot be explained by the standard present value models. The nonfundamental component of stock market index appears to be significantly influenced by the political orientation of the president and his...

Motivated by Bali et al. (2016) who find U.S. economic policy uncertainty (EPU) is priced in the cross-section of U.S. stock returns, we use weekly data from March 2006 to April 2016 to study whether shocks in U.S. EPU also influence prices of China's A-shares from market, industry, and...

This paper investigates the impact of innovations in US economic policy uncertainty on the co-movements of, respectively, the Shanghai A-share, the Shenzhen A-share, the Shanghai B-share and the Shenzhen B-share market, with the US stock market. We show that it is absolute changes in the US...