ABSTRACT
This paper examines the impact of country-specific and global economic policy uncertainty (EPU) on the time-varying risk – return relationship in G7 stock markets and explores whether this impact is significantly different during the 2008 Global Financial Crisis (GFC). Empirical results suggest that the risk – return trade-off varies with many factors. More importantly, we find that both the national and global EPU shocks have significant and negative impacts on the time-varying risk – return relationship in all G7 countries, and these negative impacts increase and intensify during the GFC.
Disclosure statement
No potential conflict of interest was reported by the authors.