Effects of Economic Policy Uncertainty Shocks on the Long-Run US-UK Stock Market Correlation

(with Hossein Agharian & Carlotte Christiansen) SSRN version 


Abstract

We use the economic policy uncertainty indices of Baker, Bloom, and Davis (2016) in combination with themixed data sampling (MIDAS) approach to investigate the US and UK stock market movements. The long-runUS-UK stock market correlation depends positively on US economic policy uncertainty shocks. The US long-run stock market volatility depends significantly on the US economic policy uncertainty shocks but not on UK shocks while the UK depends significantly on both.


The variance based efficiency test of the OMX Index option market

(with Magnus Wiktorsson,  RuiZhi, Zhao). SU Working Paper Version 


Abstract

We use the economic policy uncertainty indices of Baker, Bloom, and Davis (2016) in combination with themixed data sampling (MIDAS) approach to investigate the US and UK stock market movements. The long-runUS-UK stock market correlation depends positively on US economic policy uncertainty shocks. The US long-run stock market volatility depends significantly on the US economic policy uncertainty shocks but not on UK shocks while the UK depends significantly on both.