Economic policy uncertainty and stock market returns in selected eurozone countries

Bayar Y., Aytemiz L.

Journal of Applied Economic Sciences, vol.10, no.1, pp.152-158, 2015 (Scopus) identifier

  • Publication Type: Article / Article
  • Volume: 10 Issue: 1
  • Publication Date: 2015
  • Journal Name: Journal of Applied Economic Sciences
  • Journal Indexes: Scopus
  • Page Numbers: pp.152-158
  • Keywords: Economic policy uncertainty, Panel causality test, Stock market returns
  • Uşak University Affiliated: Yes

Abstract

The uncertainties in economic policies may affect macroeconomic variables by affecting the decision making process of the economic agents. This paper examines the impact of economic policy uncertainty in selected Eurozone member countries on stock market returns during the period January 2001-December 2014 by using Dumitrescu and Hurlin (2012) panel causality test. The causality results indicated that there was no causality from economic policy uncertainty at both country level and common level to stock markets, but there was causality from stock market to EPU indexes. On the other hand there was bidirectional causality between stock market and dollar/euro exchange rate.