Asymmetric dependence between economic policy uncertainty and stock market returns in G7 and BRIC: A quantile regression approach

This paper employs the quantile regression techniques to examine the dependence structure between economic policy uncertainty (EPU) and stock market returns in G7 and BRIC. We find new evidence to support the view that EPU will reduce stock market returns, with the exception of France and the UK. Our results show that eight out of ten stock markets reveal asymmetric dependence with EPU. Moreover, there is no dependence between EPU and France/the UK stock market.