This paper examines the role of economic policy uncertainty (EPU) on stock market returns for six countries (Australia, Canada, China, Japan, Korea and the US), based on a panel VAR model estimated using stochastic search specification selection (SSSS). In order to account for international uncertainty spillovers, the impact of home country EPU shocks and US EPU shocks are considered over the period from 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. This could be explained by favorable opportunities that investors gain by investing in this country, after an increase in policy uncertainty levels in the US economy. (C) 2017 Elsevier B.V. All rights reserved.