14 Pages Posted: 27 Jun 2012 Last revised: 9 Oct 2013
Date Written: October 4, 2013
This study investigates if the change in economic policy uncertainty in the United States has any impact on the stock market performance in Australia and New Zealand. The results from the analysis of data of monthly changes in economic policy uncertainty in the US and monthly returns on All Ordinaries index from 1985:2 to 2013:M9 and NZSE 50 index from 1986:M7 to 2013:M9 show that returns on All Ordinaries index and NZSE 50 index are negatively linked to the change in economic policy uncertainty in the United States. The results are robust controlling for the effect of the S&P 500 return on the performance of All Ordinaries index and NZSE 50 index. The finding suggests that stock market performance in Australia and New Zealand is significantly associated with the economic policy conditions in the US.
Keywords: economic policy uncertainty, stock market, USA, Australia, New Zealand
JEL Classification: E60, G12, G14
Suggested Citation: Suggested Citation
Sum, Vichet, Does Economic Policy Uncertainty in the United States Have Any Impact on the Stock Market Performance in Australia and New Zealand? (October 4, 2013). Available at SSRN: https://ssrn.com/abstract=2092377 or http://dx.doi.org/10.2139/ssrn.2092377