Abstract
This paper studies the relationship between the economic policy uncertainty and the stock market volatility. On a daily basis, stock prices react to news about what governments around the world plan to do or have done. As economic policy uncertainty is expected to be priced in the stock market, the relationship between economic policy uncertainty and financial markets can reveal investors' assessments of how policy risks impact economic activity into the future, conveniently summarized in present value terms. In this paper, we hope to unravel how an uncertain economic policy climate affects the stock market dynamics. Our results indicate that market volatility is an increasing function of the product of economic policy uncertainty.
Recommended Citation
Alatishe, Jadesola; Dalgin, M Halim; and tekatli, necati
(2023)
"The Relationship between Economic Policy Uncertainty and Stock Market Volatility,"
Pennsylvania Economic Review: Vol. 30:
No.
2, Article 2.
DOI: https://doi.org/10.65193/3067-8080.1030