Economic policy uncertainty and stock return synchronicity in the increasingly integrated European Union

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dc.contributor Aalto-yliopisto fi
dc.contributor Aalto University en Palomäki, Roope 2016-08-16T11:35:57Z 2016-08-16T11:35:57Z 2016
dc.description.abstract I analyze how government policy uncertainty and economic integration affect stock return synchronicity in the European Union over the period 1990 to 2015, using the novel economic policy uncertainty indices of Baker, Bloom, and Davis (2015). I find that stock return synchronicity between and inside the member states increases with economic policy uncertainty, policy uncertainty is higher in weaker economic conditions, and synchronicity generally increases when economic conditions decline, when measured with GDP growth. These results are consistent with the theoretical predictions of Pástor and Veronesi (2013). Furthermore, I find that stock return synchronicity between countries increases when joining the EU or the euro area, and the effect is stronger when joining the euro area. This suggests that currency integration is more important in the European financial markets than general economic integration. Joining the EU or the euro area also affects synchronicity inside the countries, but the direction of the effect depends on the country. I suggest that this may be due to differences in policy stability and the degree to which joining the EU develops the economic and financial systems in the country. These findings show that policy uncertainty and the European integration may have important implications on the ability of investors to diversify their portfolios, on market efficiency, and on the effectiveness of corporate governance methods. en
dc.format.extent 73
dc.format.mimetype application/pdf en
dc.language.iso en en
dc.title Economic policy uncertainty and stock return synchronicity in the increasingly integrated European Union en
dc.type G2 Pro gradu, diplomityö fi Kauppakorkeakoulu fi School of Business en
dc.contributor.department Rahoituksen laitos fi
dc.contributor.department Department of Finance en
dc.subject.keyword economic policy
dc.subject.keyword talouspolitiikka
dc.subject.keyword uncertainty
dc.subject.keyword epävarmuus
dc.subject.keyword synchronicity
dc.subject.keyword osaketuottojen yhtenäisyys
dc.subject.keyword integration
dc.subject.keyword integraatio
dc.subject.keyword European Union
dc.subject.keyword Euroopan unioni
dc.subject.keyword euro
dc.identifier.urn URN:NBN:fi:aalto-201609083641
dc.type.dcmitype text en
dc.programme.major Rahoitus fi
dc.programme.major Finance en
dc.type.ontasot Pro gradu tutkielma fi
dc.type.ontasot Master's thesis en
dc.subject.helecon rahoitus
dc.subject.helecon financing
dc.subject.helecon osakemarkkinat
dc.subject.helecon stock markets
dc.subject.helecon osakkeet
dc.subject.helecon shares
dc.subject.helecon tuotto
dc.subject.helecon rate of return
dc.subject.helecon epävarmuus
dc.subject.helecon uncertainty
dc.subject.helecon talouspolitiikka
dc.subject.helecon economic policy
dc.subject.helecon integraatio
dc.subject.helecon integration
dc.subject.helecon euro
dc.subject.helecon euro
dc.subject.helecon EU
dc.subject.helecon EU
dc.ethesisid 14605 2016-06-16
dc.location P1 I

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