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Article Dans Une Revue Finance Research Letters Année : 2016

Economic policy uncertainty and stock markets: Long-run evidence from the US

Résumé

We contribute to the literature by studying the impact of economic policy uncertainty on stock markets in the United States over the period 1900\textendash2014. We show that an increase in policy uncertainty reduces significantly stock returns and that this effect is stronger and persistent during extreme volatility periods.
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hal-02009137 , version 1 (06-02-2019)

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Mohamed Arouri, Christophe Estay, Christophe Rault, David Roubaud. Economic policy uncertainty and stock markets: Long-run evidence from the US. Finance Research Letters, 2016, 18, pp.136--141. ⟨10.1016/j.frl.2016.04.011⟩. ⟨hal-02009137⟩
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