Economic Policy Uncertainty and Stock Market Performance: Evidence From the European Union, Croatia, Norway, Russia, Switzerland, Turkey and Ukraine
University of Maryland, Eastern Shore - School of Business and Technology; University of Maryland, College Park
October 4, 2012
Journal of Money, Investment and Banking, 25, 99-104
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 countries from 1993:2 to 2012:4, the results show that the changes in economic policy uncertainty in Europe negatively affect all stock market returns in the European Union, Croatia, Norway, Russia, Switzerland, Turkey and Ukraine, and the effect is statistically significant for all countries except Croatia and seven members (Bulgaria, Estonia, Latvia, Lithuania, Malta, Slovakia and Slovenia) of the European Union. The findings provide empirical evidence of the effect of economic policy uncertainty on the stock market performance in Europe. This study provides important implication for equity investment and risk management.
Number of Pages in PDF File: 7
Keywords: economic policy uncertainty, stock market performance, Europe
JEL Classification: E60, G12, G14Accepted Paper Series
Date posted: June 27, 2012 ; Last revised: October 5, 2012
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