Chang, TsangyaoChen, Wen-YiGupta, RanganNguyen, Duc Khuong2015-06-262015-06-262015-06Chang, T., Chen, W-Y, Gupta, R & Nguyen, DK 2015, 'Are stock prices related to the political uncertainty index in OECD countries? Evidence from the bootstrap panel causality test', Economic Systems, vol. 39, no. 2, pp. 288-300.0939-3625 (print)1878-5433 (online)10.1016/j.ecosys.2014.10.005http://hdl.handle.net/2263/45793This study applies the bootstrap panel causality test proposed by Ko´ nya (2006. Econ Modell 23, 978) to investigate the causal link between political uncertainty and stock prices for seven OECD countries over the monthly period of 2001.01 to 2013.04. This modeling approach allows us to examine both cross-sectional dependency and country-specific heterogeneity. Our empirical results indicate that not all the countries are alike and that the theoretical prediction that stock prices fall at the announcement of a policy change is not always supported. Specifically, we find evidence for the stock price leading hypothesis for Italy and Spain, while the political uncertainty leading hypothesis cannot be rejected for the United Kingdom and the United States. In addition, the neutrality hypothesis was supported in the remaining three countries (Canada, France and Germany), while no evidence for the feedback hypothesis was found.en© 2015 Elsevier B.V. All rights reserved. Notice : this is the author’s version of a work that was accepted for publication in Economics Systems. Changes resulting from the publishing process, such as peer review, editing, corrections, structural formatting, and other quality control mechanisms may not be reflected in this document. Changes may have been made to this work since it was submitted for publication. A definitive version was subsequently published in Economics Systems, vol.39, no.1, pp. 288-300, 2015. doi : 10.1016/j.ecosys.2014.10.005Stock pricePolitical uncertainty indexBootstrap panel causality testPostprint Article