The impacts of global economic policy uncertainty on stock market returns in regime switching environment: Evidence from sectoral perspectives

2018 ◽  
Vol 24 (2) ◽  
pp. 991-1016 ◽  
Author(s):  
Mohammad Enamul Hoque ◽  
Mohd Azlan Shah Zaidi
Keyword(s):  
Economic Policy ◽  
Stock Market ◽  
Regime Switching ◽  
Policy Uncertainty ◽  
Market Returns ◽  
Stock Market Returns ◽  
Economic Policy Uncertainty

scholarly journals US Economic Policy Uncertainty and GCC Stock Market Performance

2020 ◽  
Vol 15 (1) ◽  
pp. 223-242
Author(s):  
Saeed Abdullah
Keyword(s):  
Economic Policy ◽  
Saudi Arabia ◽  
Stock Market ◽  
Policy Uncertainty ◽  
Market Returns ◽  
Stock Market Returns ◽  
Economic Policy Uncertainty ◽  
Gcc Countries ◽  
Stock Market Performance ◽  
Economy Policy

AbstractThe study evaluates the effect of economy policy uncertainty of US on gulf cooperation council (GCC) countries’ stock market returns. The GCC countries are Saudi Arabia, Qatar, UAE, Kuwait, Bahrain and Oman. Granger Causality Tests (GCT) was done primarily to evaluate if economy policy uncertainty granger cause on GCC stock market returns. The analysis established that oil prices granger cause stock market returns for Saudi Arabia, Kuwait and UAE; the same is not true on changes in economic policy uncertainty of US cause on the stock market returns. Changes in economy policy uncertainty in US granger causes on stock market returns of Bahrain. On the other hand, economy policy uncertainty in US does not cause stock market returns in Qatar, UAE, Kuwait and Saudi Arabia. Vector Autoregression (VAR) analysis establishes that economy policy uncertainty in US negatively responds to the stock market returns of the GCC countries.

scholarly journals Economic Policy Uncertainty and Stock Market Spillovers: Case of Selected CEE Markets

Mathematics ◽  
2020 ◽  
Vol 8 (7) ◽  
pp. 1077 ◽  
Author(s):  
Tihana Škrinjarić ◽  
Zrinka Orlović
Keyword(s):  
Economic Policy ◽  
Stock Market ◽  
Spillover Effects ◽  
Policy Uncertainty ◽  
Market Returns ◽  
Stock Market Returns ◽  
Economic Policy Uncertainty ◽  
Dynamic Estimation ◽  
International Investors ◽  
First Time

Rising political and economic uncertainty over the world affects all participants on different markets, including stock markets. Recent research has shown that these effects are significant and should not be ignored. This paper estimates the spillover effects of shocks in the economic policy uncertainty (EPU) index and stock market returns and risks for selected Central and Eastern European markets (Bulgaria, Czech Republic, Estonia, Hungary, Lithuania, Poland, Croatia, Slovakia and Slovenia). Based on rolling estimations of the vector autoregression (VAR) model and the Spillover Indices, detailed insights are obtained on the sources of shock spillovers between the variables in the system. Recommendations are given based on the results both for policymakers and international investors. The contribution of the paper consists of the dynamic estimation approach, alongside allowing for the feedback relationship between the variables of interest, as well as examining the mentioned spillovers for the first time for majority of the observed countries.

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