This paper investigates how stock market returns respond to economic policy uncertainty shocks. Based on the vector autoregression (VAR) analysis of the monthly changes in economic policy uncertainty index in the United States and CRSP value-weighted index from 1985:M2 to 2012:M6, the results...

This paper examines the impulse response function of economic policy uncertainty (EPU) and stock market returns in the Eurozone. Using a vector autoregression analysis, this study explores how the Eurozone's stock market responds to the impulse of economic policy uncertainty; a response feedback...

This study investigates the effect of the changes in economic policy uncertainty in Europe on the performance of stock markets in the European Union, Croatia, Norway, Russia, Switzerland, Turkey and Ukraine. Based on the analyses of monthly returns on the major stock market indices in these...

This paper examines the impact of changes in economic policy uncertainty (EPU) and COVID-19 shock on stock returns. Tests of 16 global stock market indices, using monthly data from January 1990 to August 2021, suggest a negative relation between the stock return and a country’s EPU. Evidence...

We examine how monetary policy of the Federal Reserve System, COVID-19 mortality cases, and vaccinations are associated with the US stock market volatility during the pandemic period. Using the wavelet coherence analysis, we first find that there is a positive relationship between the volatility...

This paper examines the effect of economic policy uncertainty on the performance of the real estate sector proxied by Real Estate Investment Trust (REIT) returns in the United States. Using monthly REIT index data and the monthly changes in a newly constructed index of economic policy...

This study examines if firms whose training programs ranked as the best ones in the United States can withstand the changes in economic policy uncertainty. The regression analysis of monthly changes in economic policy uncertainty index, monthly returns on the CRSP value-weighted index, and...

This study examines how the U.S. macroeconomic news releases affect uncertainty in domestic and foreign stock exchanges. For that purpose, the behavior of the implied volatilities from the U.S. and Finnish markets is investigated around the employment, producer price index (PPI) and consumer...

This paper examines the effects of the COVID-19 pandemic on stock returns, CDS and economic activity in the US and the five European countries (the UK, Germany, France, Italy, and Spain) which have been most affected. The sample period covers the dates from the first confirmed COVID-19 cases in...

This paper examines the effects of the COVID-19 pandemic on stock returns, CDS and economic activity in the US and the five European countries (the UK, Germany, France, Italy, and Spain) which have been most affected. The sample period covers the dates from the first confirmed COVID-19 cases in...