Book chapter
EMPIRICAL ANALYSIS OF ECONOMIC POLICY UNCERTAINTY AND STOCK RETURNS IN ASIAN MARKETS
Advances in Pacific Basin Business, Economics and Finance, pp 63-87
01 Jan 2019
Featured in Collection : UN Sustainable Development Goals @ Drexel
Abstract
This chapter tests the market risk and economic policy uncertainty (EPU) of five Asian stock market returns and finds positive and significant intertemporal relations between excess stock returns and conditional volatility/downside risk. The results support positive risk-return relations across five Asian markets after controlling for the lagged dividend yield and the change in EPU (Delta EPU). The evidence strongly indicates that excess stock returns are negatively correlated with the Delta EPUs. This finding holds true not only for the domestic market but also for external sources. The negative effect of Delta EPU is more profound from the US and global markets as compared with those from the Europe, Japanese, and domestic markets and suggests that a pathway to forming an optimal strategy for portfolio risk management depends on developing an effective hedging strategy against the impact of Delta EPUs from US/global markets.
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Details
- Title
- EMPIRICAL ANALYSIS OF ECONOMIC POLICY UNCERTAINTY AND STOCK RETURNS IN ASIAN MARKETS
- Creators
- Thomas C. Chiang - Drexel University
- Contributors
- C F Lee (Editor)M T Yu (Editor)
- Publication Details
- Advances in Pacific Basin Business, Economics and Finance, pp 63-87
- Series
- Advances in Pacific Basin Business Economics and Finance
- Publisher
- Emerald Group Publishing; BINGLEY
- Number of pages
- 25
- Resource Type
- Book chapter
- Language
- English
- Academic Unit
- [Retired Faculty]
- Web of Science ID
- WOS:000487674100003
- Other Identifier
- 991019167427104721
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InCites Highlights
Data related to this publication, from InCites Benchmarking & Analytics tool:
- Web of Science research areas
- Area Studies
- Business, Finance
- Economics