International economic policy uncertainty and stock prices: Wavelet approach

•Wavelet analysis reveals the relationship between economic policy uncertainty and stock prices.•The negative link between economic policy uncertainty on stock prices changes over time.•This relationship changes from low to high frequency cycles.•The timing of frequency changes overlaps when US policy uncertainty comoves with other countries' policy uncertainty.

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.