This study investigates the dynamic connectedness between stock indices and the effect of economic policy uncertainty …

This paper examines the impact of changes in economic policy uncertainty (EPU) and COVID-19 shock on stock returns …

This paper examines the asymmetric impact of economic policy uncertainty (EPU) and oil price uncertainty (OPU) on …, especially negative ones, have a stronger impact on inflation than OPU ones and capture some of the monetary policy uncertainty …, monetary policy uncertainty, greater transparency and more timely communications from monetary authorities to the public would …

We investigate the impact of China's economic policy uncertainty (EPU) on the time series variation of Chinese stock … future stock market return at various horizons. This negative relation between economic policy uncertainty and expected … future return remains significant as we control for a number of economic and market uncertainty variables or conduct out …

We investigate the risk-return trade-off on the US and European stock markets. We investigate the non-linear risk … market portfolio. We find that the risk-return trade-off is significantly positive at the upper tail (0.9 quantile), where …, for the median (0.5 quantile), the risk-return trade-off is insignificant. These results are recovered for the US industry …

Many commentators argue that uncertainty about tax, spending, monetary and regulatory policy slowed the recovery from … the 2007-2009 recession. To investigate this we develop a new index of economic policy uncertainty (EPU), built on three … components: the frequency of newspaper references to economic policy uncertainty, the number of federal tax code provisions set …

This paper examines the spillover effects of the US economic policy uncertainty (EPU) on the UAE stock market … volatility. The empirical analysis is mainly conducted using a novel approach based on combining the Diebold and Yilmaz (2014 … January 2004 to May 2022, the empirical results show that the effect of EPU on the volatility of UAE stock markets is time …

volatility of Borsa Istanbul 100 Index (BIST-100). Sample data cover the period from January 2008 to December 2017. The main … nonlinear volatility models (symmetric and asymmetric Generalized AutoRegressive Conditional Heteroskedasticity [GARCH …]-type models) were used to model and estimate BIST-100 volatility in response to political news. The findings of the paper …