We investigate the determinants of international stock market co-movements, shedding light on the relevance of politics-related factors. We propose a new characterization for the link connecting politics and financial markets, disentangling two different components: political risk and economic...

Stock market variance-return or price relations are sometimes negative and sometimes positive. We explain these puzzling findings using a model with two ("bad" and "good") variances. In the model, conditional equity premium depends positively on bad variance and negatively on good variance....

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...