Stock price synchronicity and economic policy uncertainty: International evidence

Analyzing 137,145 firm-year observations across 17 countries from 2001 to 2023, we find that higher EPU is associated with lower SPS, consistent with the idea that uncertainty enhances firm-specific information as managers often respond to uncertainty with distinct strategies and increased disclosure. This negative relationship remains robust across alternative models and after addressing endogeneity concerns. Cultural context significantly moderates the EPU–SPS link. The effect is stronger in high uncertainty-avoidance cultures, where firms may pursue more strategic actions and investors focus more on firm-level information to reduce ambiguity. In societies high on power distance, long-term orientation, and indulgence, the negative relationship between EPU and SPS is attenuated. Strong governance amplifies the effect. At the firm level, more profitable firms and those with higher trading volume experience greater SPS reductions during uncertain periods, while larger and more leveraged firms exhibit higher SPS under uncertainty.