This paper utilises time-varying causal tests to re-examine the international spillovers from US monetary policy uncertainty (MPU) shock on stock returns in Australia (AUR) and New Zealand (NZR). Interestingly, we find that, during the Dot-com bubble from 1997 to 2001, the MPU would positively cause AUR. The reason behind is that increasing MPUs due to the speculations on Dot-com firms provide favourable opportunities to investors. In contrast, we find negative prediction from MPU to AUR for a few months after the European debt crisis in late 2009. Besides, unidirectional causality running from AUR to MPU is detected only for the period of Dot-com bubble. For New Zealand, we find unidirectional causality running from MPU to NZR in a few months in 2010 with negative impacts. Policy authorities should realise the heterogeneous impacts from MPU on stock returns in Australia and New Zealand. In the end, no evidence supports the predictions from MPU to stock returns for both countries after 2013 though sensitive events such as Taper Tantrum, Liftoff, Brexit and US election frequently occur in recent years. Except for the global financial messy or speculations, the MPU is less likely to take a toll on the stock market in Australia and New Zealand.
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