Is the Tobacco Stock Still Relevant for Future Investment?

Irni Yunita and Cici Siti Barkah ()
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Irni Yunita: Telkom University, School of Economics and Business
Cici Siti Barkah: Telkom University, School of Economics and Business

A chapter in Proceedings of the International Conference on Sustainable Collaboration in Business, Technology, Information, and Innovation (SCBTII 2024), 2024, pp 167-188 from Springer

Abstract: Abstract This study examines the effect of uncertainty index asymmetry on stock market performance in 9 ASEAN countries, focusing on short-term and long-term effects. This study analyzes how fluctuations in Geopolitical Risk (GPR), Economic Policy Uncertainty (EPU), Volatility Index (VIX), and Skewness Index (SKEW) affect ASEAN stock returns. ASEAN countries, which are highly integrated in the global economy, are significantly impacted by global economic phenomena. This study uses the Nonlinear Autoregressive Distributed Lag (NARDL) model to analyze the nonlinear effects of positive and negative changes in the uncertainty index on stock returns. The analyzed data includes monthly closing stock prices and the uncertainty index over 2019M01-2023M12. The results show an impact of GPR, EPU, VIX, and SKEW on ASEAN stock returns, with index increases generally decreasing returns and decreases increasing stock returns. The NARDL model reveals consistent short-term asymmetries across countries and specific long-term asymmetries in some countries. This research highlights the importance of hedging strategies for investors in uncertain ASEAN markets.

Keywords: ASEAN Stock Market; Geopolitical Risk; Economic Policy Uncertainty; Volatility Index; Skewness Index (search for similar items in EconPapers)
Date: 2024
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Persistent link: https://EconPapers.repec.org/RePEc:spr:advbcp:978-94-6463-558-4_10

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DOI: 10.2991/978-94-6463-558-4_10

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