International economic policy uncertainty and stock prices: Wavelet approach

摘要

This paper examines the link between economic policy uncertainty and stock price in both a time and frequency domain. Wavelet analysis reveals that the relationship is generally negative but changes over time exhibiting low to high frequency cycles. Moreover, the timing of frequency changes overlaps when US policy uncertainty comoves with other countries' policy uncertainty. (C) 2015 Elsevier B.V. All rights reserved.