**5. Empirical Results**

#### *5.1. Evidence from the Regression Method*

The regression results of Equation (7), which use the Newey–West estimator (Newey and West 1987), are reported in Tables 5 and 6 that show negative and statistically significant values for all the coefficients of news variables, except those for Australia and Singapore in the global news at the current period. In the case of Australia, however, the negative impact has been extended to the lagged one period. The testing results also show that none of the AR(1) terms is significant. The evidence seems inconsistent with our earlier finding in testing the autocorrelations. In fact, this may be attributable to the fact that the AR(1) effect has been picked up by the lagged news variables in a multivariate regression procedure. In addition, the use of the Newey–West method also helps to reduce the significance of AR(1). However, the significance of the lagged news variables can be viewed as evidence against the EMH.

**Table 5.** Regression results of stock returns on domestic EPU (*ηt*) and global EPU (*zt*) for G7 markets for the period of January 1997–June 2016.


Notes: The dependent variable is stock return. The values in the first row are the estimated coefficients and in the second row are the *t*-statistics.

**Table 6.** Regression results of stock returns on domestic EPU (*ηt*) and global EPU (*zt*) for G7 markets for the period of January 1997–June 2016.


Notes: The values in the first row are the estimated coefficients and in the second row are the *t*-statistics.
