This paper examines the role of Economic Policy Uncertainty (EPU) on the stock market returns for 6 countries (Australia, Canada, China, Japan, Korea and the US), based on a PVAR model estimated using the Stochastic Search Specification Selection (SSSS) prior. In order to account for international uncertainty spillovers, the impact of the own country’s EPU shocks and the US EPU shocks are considered over the period of January 1998 to December 2014. The main results, suggest that stock market returns have been negatively affected by the increased policy uncertainty levels observed during the last decade. Furthermore, when uncertainty spillovers are considered, a significant negative relationship is found between stock market returns and US EPU shocks in all countries, except in Australia, which could be explained by the favorable opportunities that investors could gain by investing in this country, after an increase in policy uncertainty levels in the US economy.
