Abstract
In the context of the financial crisis originated in the US housing market in late 2007, the uncertainty regarding the policies that would be adopted to overcome the crisis drew attention from academy and triggered a series of questions about its effects on the capital market. Therefore, this paper aims to analyze the impact of policy uncertainty in the capital markets of different countries. The study considered monthly data of 9 countries (USA, Canada, UK, Germany, Spain, Italy, France, India and China), from January 2003 to December 2013, totaling 132 months analyzed and 1,188 observations. The results indicate that the policy uncertainty increases returns’ volatility and that the market demands a risk premium for policy uncertainty, being the association between these variables higher in adverse economic situations. The results also indicate that there was an increase in the level of policy uncertainty after the financial crisis that began in 2007. The results support the idea that policy uncertainty affects the stock markets.
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