Do Asian emerging stock markets react to international economic policy uncertainty and geopolitical risk alike? A quantile regression approach

By M. Kannadhasan, Debojyoti Das. 2020

217 citations recorded by the source corpus.

Abstract We compare and contrast the impact of Economic Policy Uncertainty (EPU) and Geopolitical Risk (GPR) related shocks on the Asian emerging stock markets by resorting to the quantile regression approach. We find that: (a) EPU holds a consistent negative relationship across all quantiles, whereas GPR is negatively related in the lower quantiles and positively related in the intermediate and upper quantiles, (b) negative impact of EPU is stronger than the negative impact of GPR and (c) the dependence of stock returns with EPU and GPR is asymmetric. We believe our findings adds a new dimension to the existing literature and also important to the market participants for portfolio allocation in the emerging markets.

Subfields: Economics and Econometrics

View Paper: https://www.semanticscholar.org/paper/e0f7a5a375f5df1c0c634bdcc0c3b3667599d468

Citations in the corpus

• The impact of economic uncertainty and geopolitical risks on bank credit (2021, unknown): “Moreover, growing adversities in terms of wars, conflicts, terrorist attacks, and nuclear threats have raised the need for understanding the geopolitical risks of countries (Kannadhasan & Das, 2020; Gupta et al., 2019).”