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

M. Kannadhasan and Debojyoti Das ()

Finance Research Letters, 2020, vol. 34, issue C

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.

Keywords: Emerging markets; Asia; Quantile regression; Economic policy uncertainty; Geopolitical risk (search for similar items in EconPapers)
JEL-codes: C32 E44 G15 G18 (search for similar items in EconPapers)
Date: 2020
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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:34:y:2020:i:c:s1544612318305014

DOI: 10.1016/j.frl.2019.08.024

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