Economic policy uncertainty of China and investment opportunities: a tale of ASEAN stock markets

Mohd Thas Thaker, Hassanudin and Mohd Thas Thaker, Mohamed Asmy and Sakti, Muhammad Rizky Prima and Sifat, Imtiaz and Allah Pitchay, Anwar and Iqbal Hussain, Hafezali (2022) Economic policy uncertainty of China and investment opportunities: a tale of ASEAN stock markets. Journal of Economics, Finance and Administrative Science, 27 (54). pp. 277-293. ISSN 2077-1886 E-ISSN 2218-0648

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Abstract

Purpose – The purpose of this paper is to examine the effect of economic policy uncertainty (EPU) of China on investment opportunities in five ASEAN economies. Design/methodology/approach – This paper employs advanced empirical approaches, such as Multivariate DCC-GARCH and Continuous Wavelet Transform (CWT) to test the research objective. The period of analysis involved monthly data from 2003 until 2019. Findings – This paper provides evidence where the Malaysian stock market to be the least exposed to risks emanating from Chinese EPU, followed by Singapore, the Philippines, Thailand and Indonesia. Results for investment opportunities based on time horizon suggest, for a short-term holding period, investors are better off investing in Singapore and Indonesia, while, for medium-term holding periods, all ASEAN markets appear lucrative except for the Philippines.

Item Type:	Article (Journal)
Uncontrolled Keywords:	Economic policy uncertainty, Investment, ASEAN markets, Stock markets, GARCH, Wavelet
Subjects:	H Social Sciences > H Social Sciences (General)
Kulliyyahs/Centres/Divisions/Institutes (Can select more than one option. Press CONTROL button):	Kulliyyah of Economics and Management Sciences > Department of Economics Kulliyyah of Economics and Management Sciences
Depositing User:	Dr Mohamed Asmy Bin Mohd Thas Thaker
Date Deposited:	09 Feb 2023 10:21
Last Modified:	06 Jun 2023 12:50
URI:	http://irep.iium.edu.my/id/eprint/103629

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