Does Economic Policy Uncertainty in the United States Affect Stock Market Performance in Europe?

International Research Journal of Finance and Economics, 98, 40-45.

12 Pages Posted: 23 Jun 2012 Last revised: 4 Oct 2012

Vichet Sum

University of Maryland Eastern Shore - School of Business and Technology

Date Written: October 2, 2012

Abstract

This paper investigates the effect of economic policy uncertainty in the United States on stock market performance in the European Union, Croatia, Norway, Russia, Switzerland, Turkey and Ukraine. The analyses of monthly returns on the major stock market indices in these countries from 1985:2 to 2012:5 show that economic policy uncertainty in the US negatively forecasts stock market returns in the European Union, Croatia, Norway, Russia, Switzerland, Turkey and Ukraine. The coefficients are not statistically significant for Latvia, Lithuania, Malta, Poland, and Slovakia who are members of the European Union.

Keywords: economic policy uncertainty, stock market performance, USA, Europe

JEL Classification: E60, G12, G14

Suggested Citation

Sum, Vichet, Does Economic Policy Uncertainty in the United States Affect Stock Market Performance in Europe? (October 2, 2012). International Research Journal of Finance and Economics, 98, 40-45.. Available at SSRN: https://ssrn.com/abstract=2089615 or http://dx.doi.org/10.2139/ssrn.2089615

Vichet Sum (Contact Author)

University of Maryland Eastern Shore - School of Business and Technology ( email )

Kiah Hall 1114
Princess Anne, MD 21853
United States
410-651-6531 (Phone)
410-651-6529 (Fax)

HOME PAGE: http://vichetsum.com

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