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Global Political Uncertainty and Asset Prices

Brogaard, Jonathan; Dai, Lili; Ngo, Phong; Zhang, Bohui


We show that global political uncertainty, measured by the U.S. election cycle, on average, leads to a fall in equity returns in fifty non-U.S. countries. At the same time, market volatilities rise, local currencies depreciate, and sovereign bond returns increase. The effect of global political uncertainty on equity prices increases with the level of uncertainty in U.S. election outcomes and a country’s equity market exposure to foreign investors, but does not vary with the country’s...[Show more]

CollectionsANU Research Publications
Date published: 2020
Type: Journal article
Source: Review of Financial Studies
DOI: 10.1093/rfs/hhz087


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