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Economic Policy Uncertainty and Stock Market Performance: Evidence From the European Union, Croatia, Norway, Russia, Switzerland, Turkey and Ukraine

Journal of Money, Investment and Banking, 25, 99-104

7 Pages Posted: 27 Jun 2012 Last revised: 9 Jan 2015

Vichet Sum

University of Maryland Eastern Shore - School of Business and Technology

Date Written: October 4, 2012

Abstract

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.

Keywords: economic policy uncertainty, stock market performance, Europe

JEL Classification: E60, G12, G14

Suggested Citation

Sum, Vichet, Economic Policy Uncertainty and Stock Market Performance: Evidence From the European Union, Croatia, Norway, Russia, Switzerland, Turkey and Ukraine (October 4, 2012). Journal of Money, Investment and Banking, 25, 99-104. Available at SSRN: https://ssrn.com/abstract=2094175 or http://dx.doi.org/10.2139/ssrn.2094175

Vichet Sum (Contact Author)

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

2105 Kiah Hall
Princess Anne, MD 21853
United States
410-651-6531 (Phone)
410-651-6529 (Fax)

HOME PAGE: http://www.umes.edu/bma/Sum.html

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