Author(s)

Aviral Kumar Tiwari¹, Niyati Bhanja², Arif Billah Dar³

¹Faculty of Management, IBS Hyderabad, A Constituent of IFHE (Deemed to Be) University, Hyderabad, India.
²Department of Economics and International Business, University of Petroleum and Energy Studies, Uttarakhand, India.
³Department of Economic Environment and Strategy, Institute of Management and Technology, Uttar Pradesh, India.

The recent bouts of crises in the Europe and the US have spurred increasing interest on the co-movement of output and stock market across the European countries. The evidence of such co-movements is rooted mainly from the spillover of uncertainty among the European countries. Hence, using a new uncertainty index from Baker et al. [1], we investigate both the time-varying as well as frequency based co-movement of uncertainty in the selected European countries. Our results suggest both time and frequency varying co-movement of the uncertainty indices. In particular, these co-movements are found to be more pronounced during the crises periods.

Uncertainty Spillover, Cohesion, European Countries, Wavelet

Tiwari, A. , Bhanja, N. and Dar, A. (2015) Uncertainty Co-Movement in Major European Countries. Theoretical Economics Letters, 5, 256-261. doi: 10.4236/tel.2015.52030.