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On the effects of policy uncertainty on stock prices

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  • Mohsen Bahmani-Oskooee

    (The University of Wisconsin-Milwaukee)

  • Sujata Saha

    (Wabash College)

Abstract

A new measure of policy uncertainty that relies upon newspapers’ reporting of any words that contribute to an uncertain environment is constructed and published by Policy Uncertainty Group. In this paper we assess its impact on stock prices in 13 countries for which we were able to locate the required data. We find that in almost all 13 countries, increased uncertainty has adverse short-run effects but not long-run effects on stock prices.

Suggested Citation

  • Mohsen Bahmani-Oskooee & Sujata Saha, 2019. "On the effects of policy uncertainty on stock prices," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 43(4), pages 764-778, October.
    • Handle: RePEc:spr:jecfin:v:43:y:2019:i:4:d:10.1007_s12197-019-09471-x
    DOI: 10.1007/s12197-019-09471-x
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    More about this item

    Keywords

    Policy uncertainty; Stock prices; 13 countries;
    All these keywords.

    JEL classification:

    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • G38 - Financial Economics - - Corporate Finance and Governance - - - Government Policy and Regulation

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