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Investigation of the Relationship Between Economic Policy Uncertainty Index and Stock Exchange Indices: The Case of OECD Countries

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  • Süreyya Yılmaz Özekenci

    (Çağ University)

Abstract

The aim of the study is to investigate the causality relationship between the Economic Policy Uncertainty Index and the stock indices of OECD countries using monthly data from February 2008 to September 2022 through the Dumitrescu and Hurlin (2012) panel causality test. According to the Dumitrescu and Hurlin (2012) test's findings, while Australia, Canada, Colombia, Sweden, Italy, Japan, and Chile were found to be eligible for causality between the stock market index and the economic policy uncertainty index, Australia, Chile, France, Germany, Greece, Ireland, Japan, and Spain were found to be eligible for causality between the economic policy uncertainty index and the stock market index. Furthermore, it was found that this relationship was bidirectional for Australia, Chile, and Japan.

Suggested Citation

  • Süreyya Yılmaz Özekenci, 2024. "Investigation of the Relationship Between Economic Policy Uncertainty Index and Stock Exchange Indices: The Case of OECD Countries," Journal of Finance Letters (Maliye ve Finans Yazıları), Maliye ve Finans Yazıları Yayıncılık Ltd. Şti., vol. 39(121), pages 217-234, April.
    • Handle: RePEc:acc:malfin:v:39:y:2024:i:121:p:217-234
    DOI: https://doi.org/10.33203/mfy.1386682
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    More about this item

    Keywords

    Economic policy uncertainty index; stock market indices; panel causality test;
    All these keywords.

    JEL classification:

    • D80 - Microeconomics - - Information, Knowledge, and Uncertainty - - - General
    • G00 - Financial Economics - - General - - - General
    • C23 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Models with Panel Data; Spatio-temporal Models

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